Determinants of Systemically Important Banks: The Case of Europe

Journal of Finanical Economic Policy 7 (4)

Posted: 29 Nov 2014 Last revised: 8 Dec 2015

See all articles by Jacob Kleinow

Jacob Kleinow

Freiberg University; National University of Colombia

Tobias Nell

Freiberg University of Technology

Date Written: January 12, 2015

Abstract

We investigate the drivers of systemic risk and contagion among European banks from 2007 to 2012. First, we derive a systemic risk measure from the concepts of MES and CoVaR analysing tail co-movements of daily bank stock returns. We then run panel regressions for our systemic risk measure using idiosyncratic bank characteristics and a set of country and policy control variables. Our results comprise highly significant drivers of systemic risk in the European banking sector with important implications for banking regulation.

Keywords: too big to fail, systemic risk, determinants, financial crisis, bank, SIFI, Europe

JEL Classification: G01, G21, G28

Suggested Citation

Kleinow, Jacob and Nell, Tobias, Determinants of Systemically Important Banks: The Case of Europe (January 12, 2015). Journal of Finanical Economic Policy 7 (4). Available at SSRN: https://ssrn.com/abstract=2531326 or http://dx.doi.org/10.2139/ssrn.2531326

Jacob Kleinow (Contact Author)

Freiberg University ( email )

Lessingstr. 45
Freiberg, 09596
Germany

HOME PAGE: http://www.tu-freiberg.de

National University of Colombia ( email )

Carrera 30 45-03
Bogota, None
Colombia

Tobias Nell

Freiberg University of Technology ( email )

Schlossplatz 1
Freiberg, 09599
Germany

HOME PAGE: http://www.tu-freiberg.de

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