Transatlantic systemic risk

Monika Trapp and Claudio Wewel

Journal of Banking & Finance, 2013, vol. 37, issue 11, 4241-4255

Abstract: In this paper we study systemic risk for the US and Europe. We show that banks’ exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European banks react more strongly to the onset of the financial crisis than US banks. Regarding the consequences of systemic risk, we show that dependence between the banking sector and a wide range of real sectors is limited. Our results imply that regulators and supervisors should address international bank dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern.

Keywords: Systemic risk; Banking sector; Real sectors; Regulation; Copula (search for similar items in EconPapers)
JEL-codes: G01 G15 G18 G21 G28 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:11:p:4241-4255

DOI: 10.1016/j.jbankfin.2013.07.024

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