Forward looking banking stress in EMU countries
| dc.contributor.author | Singh, Manish | |
| dc.contributor.author | Gómez-Puig, Marta | |
| dc.contributor.author | Sosvilla Rivero, Simón Javier | |
| dc.date.accessioned | 2023-06-19T23:56:07Z | |
| dc.date.available | 2023-06-19T23:56:07Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union (EMU) countries using a market based measure "distance-to-default"(DtD). It analyzes the individual and aggregated series for a comprehensive set of banks in each eurozone country over the period 2004-Q4 to 2013-Q2. Given the structural differences in financial sector and banking regulations at national level, the indices provide a useful indicator for monitoring country specific banking vulnerability and stress. We find that average DtD indicators are intuitive, forward-looking and timely risk indicators. The underlying trend, fluctuations and correlations among indices help us analyze the interdependence while cross-sectional differences in DtD prior to crisis suggest banking sector fragility in peripheral EMU countries. | |
| dc.description.department | Depto. de Análisis Económico y Economía Cuantitativa | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.sponsorship | Government of Spain | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/30644 | |
| dc.identifier.issn | 1696-6376 | |
| dc.identifier.officialurl | http://www.aeefi.com | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/41632 | |
| dc.issue.number | 14-10 | |
| dc.language.iso | eng | |
| dc.page.total | 30 | |
| dc.publication.place | Madrid | |
| dc.publisher | Asociación Española de Economía y Finanzas Internacionales | |
| dc.relation.ispartofseries | Working Papers on International Economics and Finance | |
| dc.relation.projectID | ECO2011-23189 | |
| dc.relation.projectID | ECO2013-48326 | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | G01 | |
| dc.subject.jel | G21 | |
| dc.subject.jel | G28 | |
| dc.subject.keyword | Contingent claim analysis | |
| dc.subject.keyword | Distance-to-default | |
| dc.subject.keyword | Systemic risk | |
| dc.subject.ucm | Bancos y cajas | |
| dc.subject.ucm | Crisis económicas | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.ucm | Integración económica | |
| dc.subject.unesco | 5307.06 Fluctuaciones Económicas | |
| dc.subject.unesco | 5302 Econometría | |
| dc.subject.unesco | 5309.02 Integración Económica | |
| dc.title | Forward looking banking stress in EMU countries | |
| dc.type | technical report | |
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| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 13e83682-e923-4f28-a770-1140d295a334 | |
| relation.isAuthorOfPublication.latestForDiscovery | 13e83682-e923-4f28-a770-1140d295a334 |
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