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Autor:innen: 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
ECB Working Paper No. 2981
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Systemic Risk
Fragility
Financial Crises
Asset Price Bubbles
Fire Sales
JEL: 
E44
G01
G12
G20
G32
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-6831-7
Dokumentart: 
Working Paper

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