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|Title:||Measuring Systemic Vulnerability in European Banking Systems|
|Authors:||Gibson, Heather D.|
Hall, Stephen G.
Tavlas, George S.
|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.|
|Embargo on file until:||1-Jan-10000|
|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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|Measuring Systemic vulnerability in European Banking Systems march 17.pdf||Post-review (final submitted author manuscript)||920 kB||Adobe PDF||View/Open|
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