Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/80436 
Year of Publication: 
2013
Series/Report no.: 
CFR Working Paper No. 12-10 [rev.]
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Abstract: 
In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European banks react more strongly to the onset of the financial crisis than US ones. Regarding the consequences of systemic risk, we show that dependence between the banking sector and a wide range of real sectors is limited. Our results imply that regulators and supervisors should address international bank dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern.
Subjects: 
systemic risk
banking sector
real sectors
regulation
copula
JEL: 
G01
G15
G18
G21
G28
Document Type: 
Working Paper

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