Interconnectedness and Systemic Risk of European Banks Over the Recent Crises

50 Pages Posted: 12 Nov 2015

See all articles by Carlo Bellavite Pellegrini

Carlo Bellavite Pellegrini

Catholic University of Milan

Michele Meoli

University of Bergamo

Laura Pellegrini

Catholic University of the Sacred Heart of Milan

Giovanni Urga

Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

Date Written: May 26, 2015

Abstract

The recent financial turmoil has stimulated a rich debate in the banking and financial literature on the identification of the determinants of systemic risk, as well as of devices to forecast and prevent crises. In this paper, we explore the contribution of corporate variables on the systemic risk in a CoVar approach, as recently proposed by Adrian and Brunnermeier (2010, 2011, 2014). Using a unique sample of 141 European banks belonging to 24 European countries, continuously listed from 2006Q1 to 2012Q4, we investigate the impact of corporate variables over several regimes that characterised the European context in recent years, namely the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2) and the sovereign debt crisis (2010Q3-2012Q4). There is evidence that size has not played a significant role in spreading systemic risk, the contrary holds true for maturity mismatch. However, the nature and the intensity of these two determinants vary across the three crises.

Keywords: Systemic Risk, Financial Crises, Sovereign Debt Crisis, Value at Risk, CoVar

JEL Classification: G01, G021, C23

Suggested Citation

Bellavite Pellegrini, Carlo and Meoli, Michele and Pellegrini, Laura and Urga, Giovanni, Interconnectedness and Systemic Risk of European Banks Over the Recent Crises (May 26, 2015). Available at SSRN: https://ssrn.com/abstract=2669940 or http://dx.doi.org/10.2139/ssrn.2669940

Carlo Bellavite Pellegrini (Contact Author)

Catholic University of Milan ( email )

Largo Gemelli 1
Milan, MI Milano 20123
Italy

Michele Meoli

University of Bergamo ( email )

Via Marconi 5
24044 Dalmine, Bergamo
Italy
+390352052026 (Phone)
+390352052077 (Fax)

Laura Pellegrini

Catholic University of the Sacred Heart of Milan ( email )

Largo Gemelli, 1
Via Necchi 9
Milan, MI 20123
Italy

Giovanni Urga

Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK ( email )

108 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 8698 (Phone)
+44 20 7040 8881 (Fax)

HOME PAGE: http://www.bayes.city.ac.uk/faculties-and-research/experts/giovanni-urga

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