How macroeconomic conditions affect systemic risk in the short and long-run?

Zeynep O. Kurter
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Zeynep O. Kurter: University of Warwick

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: This study quantifies the effects of macroeconomic variables on various market-based systemic-risk measures in 24 European banks over the 2008-2019 period. In a first step, I measure daily systemic risk for banks based on ∆CoVaR, MES, and SRISK frameworks, and examine the contributions of individual banks to aggregate systemic risk during specific stress events. Systemic risk in European banks has risen in the wake of the global financial crisis and the Brexit referendum result. In a second step, I investigate how macroeconomic conditions affect systemic risk in the short and long-run. I find that three systemic risk measures have a long-run stable relationship with EU industrial production, EU inflation, Euribor, and US equity market volatility, but some variables have opposite effects in the short and long-run.

Keywords: Systemic Risk; Value at Risk; Quantile Regression; DCC-GJRGARCH; ARDL; Banking Sector JEL classification: C22; G01; G18; G21; G32 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-eec, nep-fdg and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:1407

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