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
Date Written: January 12, 2015
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: Suggested Citation