Fire-Sale Externalities in the Euro Area Banking Sector

Lorenzo Cappiello and Dominik Supera

Financial Stability Review, 2014, vol. 2

Abstract: This special feature studies the effects of fire-sale externalities in the euro area banking sector. Using individual bank balance sheet data and a framework developed by Greenwood et al. (forthcoming), an indicator is constructed to quantify the effects of fire-sale spillovers in terms of losses in equity capital in the banking system. For some countries, loans to monetary financial institutions are the most systemic assets, while for others loans to households can pose systemic risks. Thanks to the fine granularity of the background data and monthly updates, the index can be used as an early warning indicator and a measure of systemic risk. JEL Classification: G00

Keywords: risk; spillovers; systemic asset (search for similar items in EconPapers)
Date: 2014-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:fsrart:2014:0002:1

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