Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/58924
Title: Forward Looking Banking Stress in EMU Countries
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Singh, Manish Kumar
Keywords: Unions monetàries
Risc (Economia)
Països de la Unió Europea
Monetary unions
Risk
European Union countries
Issue Date: 2014
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
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.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2014/201421.pdf
It is part of: IREA – Working Papers, 2014, IR14/021
URI: http://hdl.handle.net/2445/58924
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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