Cyclical behaviour of systemic risk in the banking sector

Alin Marius Andrieș and Nicu Sprincean

Applied Economics, 2021, vol. 53, issue 13, 1463-1497

Abstract: This paper examines cyclical behaviour of banks’ systemic risk contribution and exposure. Using a panel of 787 banks from country members of the Organization for Economic Co-operation and Development and the European Union covering the period 2000–2017, we document that both systemic risk contribution and exposure are positively related to business cycle. Systemic risk starts to accumulate in the financial sector during periods of boom when the output gap is positive. Furthermore, during periods of robust economic growth, the level of credit tends to increase dramatically, going hand in hand with asset and property prices developments. We also find that contribution and exposure to system-wide distress move procyclically during credit and house cycles, meaning that during upturns in credit and house cycles bank interconnectedness increases, but tend to fall during the downturns. However, individual risk of the banks evolves countercyclically during business and financial cycles.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2020.1822511 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:applec:v:53:y:2021:i:13:p:1463-1497

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2020.1822511

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().