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http://hdl.handle.net/2445/58924
Title: | Forward Looking Banking Stress in EMU Countries |
Author: | Gómez-Puig, Marta Sosvilla Rivero, Simón 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 |
Series/Report no: | [WP E-IR14/21] |
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, IR14/21 |
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)) |
Files in This Item:
File | Description | Size | Format | |
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IR14-021_GomezPuig.pdf | 1.3 MB | Adobe PDF | View/Open |
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