This paper investigates the systemic risk of the European sovereign and banking system during 2008{2013. Our systemic risk measure can be intuitively interpreted as the conditional joint probability of default of an entity, given the hypothetical default of other entities. Our measure not only refects individual default risk characteristics but also captures the underlying interdependent relations between sovereigns and banks in a true multivariate setting. Our results reveal significant time variation in distress dependence and systemic risk spillover effects for the sovereign and banking system. In particular, we show that peripheral sovereigns and banks have greatly increased in systemic importance, leading to intensi ed systemic relations between the peripheral and the core. Based on our measure, the systemic risk of the combined sovereign and banking system reached historical highs of 32% during the sovereign debt crisis. We nd that this heightened risk is mainly driven by the default risk premium and the sovereign risk premium coupled with a steady increase in physical default risk.
Keywords: Systemic risk, Sovereign default, Banking stability, Tail risk
JEL Classi cation: C16, C61, G01, G21
자료실
자료실
[2014년 제 4차] Systemic Risk in the European Sovereign and Banking
작성자 : 관리자
조회수 : 976
게시일 :
2014-12-12