Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311145 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2981
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover Persistence is higher, whereas in the run-up phase of stock market bubbles it is lower. Lower Spillover Persistence also associates with a more fragile system, e.g., a higher probability of future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important dimension of systemic risk and financial constraints as a key determinant of persistence.
Subjects: 
Systemic Risk
Fragility
Financial Crises
Asset Price Bubbles
Fire Sales
JEL: 
E44
G01
G12
G20
G32
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6831-7
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.