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Article

Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model

Faculty of Economics and Business Administration, Alexandru Ioan Cuza University of Iasi and Institute for Economic Forecasting, Romanian Academy, 22 Carol I Boulevard, 700505 Iasi, Romania
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Received: 13 October 2019 / Revised: 20 December 2019 / Accepted: 6 January 2020 / Published: 10 January 2020
(This article belongs to the Special Issue Model Risk and Risk Measures)
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market. Low during normal times, the same shocks cause notable spillover effects during the volatile period. The results suggest a high level of interconnectedness across all the European regions, highlighting the importance of large and systemic important banks that create considerable systemic risk during the entire period. Regarding the non-interest income banks, the outcomes reveals an alert signal concerning the spillovers spread to interest income banks. View Full-Text
Keywords: financial contagion; risk spillovers; European commercial banks financial contagion; risk spillovers; European commercial banks
MDPI and ACS Style

Andries, A.M.; Galasan, E. Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model. Risks 2020, 8, 5. https://doi.org/10.3390/risks8010005

AMA Style

Andries AM, Galasan E. Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model. Risks. 2020; 8(1):5. https://doi.org/10.3390/risks8010005

Chicago/Turabian Style

Andries, Alin Marius, and Elena Galasan. 2020. "Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model" Risks 8, no. 1: 5. https://doi.org/10.3390/risks8010005

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