Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/40591
Title: Measuring Systemic Vulnerability in European Banking Systems
Authors: Gibson, Heather D.
Hall, Stephen G.
Tavlas, George S.
First Published: 1-Dec-2017
Publisher: Elsevier, Rensselaer Polytechnic Institute, Lally School of Management and Technology
Citation: Journal of Financial Stability, 2017, In Press
Abstract: We construct a measure of systemic vulnerability in selected EU banking systems using an indirect measure of the system covariance which is also time-varying. We proceed to examine to what extent the resulting measures of systemic vulnerability provide a convincing narrative of events during the period January 2000 to March 2016. The results provide evidence of: (i) rising vulnerability prior to the outbreak of the international financial crisis in 2007/08 in countries with banks exposed to toxic assets; (ii) vulnerability associated with the euro area sovereign debt crisis from 2009/10; and (iii) continued concerns from 2013 onwards regarding the need for euro area banks to improve their balance sheets and raise new capital at a time of sluggish profitability.
DOI Link: TBA
ISSN: 1572-3089
Links: TBA
http://hdl.handle.net/2381/40591
Embargo on file until: 1-Jan-10000
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2017, Elsevier. Deposited with reference to the publisher’s open access archiving policy.
Description: The file associated with this record is under embargo until 18 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, Dept. of Economics

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