Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257961 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 1 [Article No.:] 5 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market. Low during normal times, the same shocks cause notable spillover effects during the volatile period. The results suggest a high level of interconnectedness across all the European regions, highlighting the importance of large and systemic important banks that create considerable systemic risk during the entire period. Regarding the non-interest income banks, the outcomes reveals an alert signal concerning the spillovers spread to interest income banks.
Subjects: 
European commercial banks
financial contagion
risk spillovers
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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