Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries
Amid global financial instability timely identification and propagation of systemic risks within both national and international banking systems becomes essential. It implies that it is highly important to assess not only inner factors of systemic banking risk and channels of its propagation, but al...
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| Format: | Article |
| Language: | English |
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Financial Research Institute
2019-10-01
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| Series: | Финансовый журнал |
| Subjects: | |
| Online Access: | https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2019/5/statii/fm_2019_5_09.pdf |
| _version_ | 1817991603206225920 |
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| author | Alexander M. Karminsky Ekaterina V. Seryakova |
| author_facet | Alexander M. Karminsky Ekaterina V. Seryakova |
| author_sort | Alexander M. Karminsky |
| collection | DOAJ |
| description | Amid global financial instability timely identification and propagation of systemic risks within both national and international banking systems becomes essential. It implies that it is highly important to assess not only inner factors of systemic banking risk and channels of its propagation, but also external sources which are due to cross-boarder spread of systemic banking risks. This article focuses on researching cross-boarder mechanism of systemic risks spread using method of decomposition of the variance of errors of VAR-models basing on monthly aggregated country-level indices of financial stress for EU-countries (CLIFS: Country-Level Index of Financial Stress). This investigation seems to be acute for coordinating macroprudential policies of national regulators of EU- countries and mastering macroprudential policy of Bank of Russia due to high globalization of financial markets of EU-countries and growth of financial innovations. The matrix of connectedness of 27 countries belonging to EU allows to obtain index of systemic connectedness (84 %), which reflects high dependence of each country on external shocks transferred from other countries-members of EU. Indices of net connectedness allow to divide countries into two groups: net-acceptors and net-donors of systemic risks. Empirical analysis has confirmed the hypothesis that countries subject more to inner shocks — Greece, Cyprus, Bulgaria and Croatia- have really survived starting from 2008 banking crises, explained with internal imbalances of banking systems. |
| first_indexed | 2024-04-14T01:15:26Z |
| format | Article |
| id | doaj.art-e969895be3434588a41a26341bce2e29 |
| institution | Directory Open Access Journal |
| issn | 2075-1990 2658-5332 |
| language | English |
| last_indexed | 2024-04-14T01:15:26Z |
| publishDate | 2019-10-01 |
| publisher | Financial Research Institute |
| record_format | Article |
| series | Финансовый журнал |
| spelling | doaj.art-e969895be3434588a41a26341bce2e292022-12-22T02:20:54ZengFinancial Research InstituteФинансовый журнал2075-19902658-53322019-10-0111No. 511912910.31107/2075-1990-2019-5-119-129Assessment of Cross-Border Transmission of Systemic Financial Risk in EU CountriesAlexander M. Karminsky0Ekaterina V. Seryakova1Moscow State Institute of International Relations, Moscow 119454, Russian FederationMoscow State Institute of International Relations, Moscow 119454, Russian FederationAmid global financial instability timely identification and propagation of systemic risks within both national and international banking systems becomes essential. It implies that it is highly important to assess not only inner factors of systemic banking risk and channels of its propagation, but also external sources which are due to cross-boarder spread of systemic banking risks. This article focuses on researching cross-boarder mechanism of systemic risks spread using method of decomposition of the variance of errors of VAR-models basing on monthly aggregated country-level indices of financial stress for EU-countries (CLIFS: Country-Level Index of Financial Stress). This investigation seems to be acute for coordinating macroprudential policies of national regulators of EU- countries and mastering macroprudential policy of Bank of Russia due to high globalization of financial markets of EU-countries and growth of financial innovations. The matrix of connectedness of 27 countries belonging to EU allows to obtain index of systemic connectedness (84 %), which reflects high dependence of each country on external shocks transferred from other countries-members of EU. Indices of net connectedness allow to divide countries into two groups: net-acceptors and net-donors of systemic risks. Empirical analysis has confirmed the hypothesis that countries subject more to inner shocks — Greece, Cyprus, Bulgaria and Croatia- have really survived starting from 2008 banking crises, explained with internal imbalances of banking systems.https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2019/5/statii/fm_2019_5_09.pdfsystemic risksbanking systemtransmission of banking risksfinancial stability |
| spellingShingle | Alexander M. Karminsky Ekaterina V. Seryakova Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries Финансовый журнал systemic risks banking system transmission of banking risks financial stability |
| title | Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries |
| title_full | Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries |
| title_fullStr | Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries |
| title_full_unstemmed | Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries |
| title_short | Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries |
| title_sort | assessment of cross border transmission of systemic financial risk in eu countries |
| topic | systemic risks banking system transmission of banking risks financial stability |
| url | https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2019/5/statii/fm_2019_5_09.pdf |
| work_keys_str_mv | AT alexandermkarminsky assessmentofcrossbordertransmissionofsystemicfinancialriskineucountries AT ekaterinavseryakova assessmentofcrossbordertransmissionofsystemicfinancialriskineucountries |