Economics at your fingertips  

Assessing the contribution of banks, insurance and other financial services to systemic risk

Oscar Bernal, Jean-Yves Gnabo () and Grégory Guilmin

Journal of Banking & Finance, 2014, vol. 47, issue C, 270-287

Abstract: The aim of this paper is to contribute to the debate on systemic risk by assessing the extent to which distress within the main different financial sectors, namely, the banking, insurance and other financial services industries contribute to systemic risk. To this end, we rely on the ΔCoVaR systemic risk measure introduced by Adrian and Brunnermeier (2011). In order to provide a formal ranking of the financial sectors with respect to their contribution to systemic risk, the original ΔCoVaR approach is extended here to include the Kolmogorov–Smirnov test developed by Abadie (2002), based on bootstrapping. Our empirical results reveal that in the Eurozone, for the period ranging from 2004 to 2012, the other financial services sector contributes relatively the most to systemic risk at times of distress affecting this sector. In turn, the banking sector appears to contribute more to systemic risk than the insurance sector. By contrast, the insurance industry is the systemically riskiest financial sector in the United States for the same period, while the banking sector contributes the least to systemic risk in this area. Beyond this ranking, the three financial sectors of interest are found to contribute significantly to systemic risk, both in the Eurozone and in the United States.

Keywords: Systemic risk; CoVaR; Quantile regression; Stochastic dominance test (search for similar items in EconPapers)
JEL-codes: C21 E44 G01 G20 G28 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (66) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.jbankfin.2014.05.030

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-11-03
Handle: RePEc:eee:jbfina:v:47:y:2014:i:c:p:270-287