| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11698 |
| 来源ID | Working Paper 11698 |
| Banking System Stability: A Cross-Atlantic Perspective | |
| Philipp Hartmann; Stefan Straetmans; Casper G. De Vries | |
| 发表日期 | 2005-10-17 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion risk%u201D) and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11698 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569348 |
| 推荐引用方式 GB/T 7714 | Philipp Hartmann,Stefan Straetmans,Casper G. De Vries. Banking System Stability: A Cross-Atlantic Perspective. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11698.pdf（700KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
