Trapp, Monika and Wewel, Claudio (2013). Transatlantic systemic risk. J. Bank Financ., 37 (11). S. 4241 - 4256. AMSTERDAM: ELSEVIER. ISSN 1872-6372

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Abstract

In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European banks react more strongly to the onset of the financial crisis than US banks. Regarding the consequences of systemic risk, we show that dependence between the banking sector and a wide range of real sectors is limited. Our results imply that regulators and supervisors should address international bank dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. (C) 2013 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Trapp, MonikaUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Wewel, ClaudioUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-472844
DOI: 10.1016/j.jbankfin.2013.07.024
Journal or Publication Title: J. Bank Financ.
Volume: 37
Number: 11
Page Range: S. 4241 - 4256
Date: 2013
Publisher: ELSEVIER
Place of Publication: AMSTERDAM
ISSN: 1872-6372
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
DEFAULT; RECOVERY; BANKSMultiple languages
Business, Finance; EconomicsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/47284

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