Banking System Stability

Philipp Hartmann, Stefan Straetmans and Casper G. de Vries

in The Risks of Financial Institutions

Published by University of Chicago Press

Published in print February 2007 | ISBN: 9780226092850
Published online February 2013 | e-ISBN: 9780226092980 | DOI:
Banking System Stability

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This chapter reports the measures of the size of systematic relationships among United States and euro-area banks. It also describes how to evaluate banking system risk. The risk of multivariate extreme spillovers between U.S. banks is higher than between European banks. Despite the fact that available balance-sheet data show higher interbank exposures in the euro area, the U.S. banking system appears to be more prone to contagion risk. There is a significant increase of multivariate spillover risk both in the euro area and in the U.S. banking system. Both the euro area and the U.S. banking system seem to be more exposed to aggregate shocks today than they were in the early 1990s. The increase of bank spillover risk in the euro area as a whole seems to have happened extremely gradually, as one would expect from the slow integration of traditional banking business.

Keywords: U.S. banks; European banks; banking system; contagion risk; spillover risk; multivariate spillover; shocks

Chapter.  25614 words.  Illustrated.

Subjects: Financial Markets

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