Drivers of systemic risk: Do national and European perspectives differ? |
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| Institution: | 1. Deutsche Bundesbank, Germany;2. Halle Institute for Economic Research, Germany;3. Halle Institute for Economic Research, University of Halle, Germany;1. Fluminense Federal University, Department of Economics and National Council for Scientific and Technological Development (CNPq), Brazil;2. Fluminense Federal University, Department of Economics, Brazil;1. Virginia Polytechnic Institute and State University, United States;2. World Bank, United States;1. ICMA Centre, Henley Business School, University of Reading, UK;2. Finance Department, ESCP Europe, France;3. Labex ReFi, France;1. The Wang Yanan Institute for Studies in Economics, Xiamen University, 361005 Xiamen, China;2. Center for Financial Studies, Grueneburgplatz 1, 60323 Frankfurt am Main, Germany;3. Goethe University Frankfurt and Center for Financial Studies, Grueneburgplatz 1, 60323 Frankfurt am Main, Germany |
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| Abstract: | With the establishment of the Banking Union, the European Central Bank has been granted the power to impose stricter regulations than the national regulator if systemic risks are not adequately addressed at the national level. We ask whether there is a cross-border externality in the sense that a bank’s systemic risk differs when applying a national versus a European perspective. On average, banks’ contribution to systemic risk is similar at the two regional levels, and so is the ranking of banks. Generally, larger banks and banks with a lower share of loans are more systemically important. The effects of these variables are qualitatively but not quantitatively similar at the national versus the European level. |
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| Keywords: | Systemic risk Bank regulation Banking Union G01 G21 G28 |
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