Systemic Risk Causality Among Economic Sectors: An Analysis of the Banking and Real Estate Sectors

Cristina Zeldea

Chapter Chapter 2 in Navigating Through the Crisis: Business, Technological and Ethical Considerations, 2022, pp 19-32 from Springer

Abstract: Abstract The real estate sector has usually gathered high common exposures of financial institutions, thus driving background risk buildup in the financial systems. Although not traditionally recognized as a primary source of risk, tantamount to the banking sector, the global financial crisis of 2008 has pinpointed real estate’s systemic importance. This chapter is centered on two conditional capital shortfall methods. We compute the systemic risk for the banking and real estate sectors in the United States and the European Union and then investigate the causal relationships between them and their direction. Strong evidence of causality between the two sectors is provided.

Keywords: Systemic risk; Banking sector; Real estate; Conditional capital shortfall; Causality (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-82751-9_2

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DOI: 10.1007/978-3-030-82751-9_2

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