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The Risks of Financial Institutions$
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Mark Carey and Rene M. Stulz

Print publication date: 2007

Print ISBN-13: 9780226092850

Published to Chicago Scholarship Online: February 2013

DOI: 10.7208/chicago/9780226092980.001.0001

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PRINTED FROM CHICAGO SCHOLARSHIP ONLINE (www.chicago.universitypressscholarship.com). (c) Copyright University of Chicago Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in CHSO for personal use.date: 17 September 2021

Banking System Stability

Banking System Stability

A Cross-Atlantic Perspective

Chapter:
(p.133) 4 Banking System Stability
Source:
The Risks of Financial Institutions
Author(s):

Philipp Hartmann

Stefan Straetmans

Casper G. de Vries

Publisher:
University of Chicago Press
DOI:10.7208/chicago/9780226092980.003.0005

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

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