The Role of Shadow Banking and the Systemic Risk in the European Financial System

Carlo Bellavite Pellegrini, Peter Cincinelli, M. Meoli, G. Urga
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Abstract

In the aftermath of the 2008 financial crisis, the development of shadow banking has been seen as one of the determinants for the increase of system risk. While diversity within the shadow banking system has been largely overlooked, in this paper we focus on European Monetary Market Funds (MMFs) and Finance Services (FSs) in order to investigate their influence on systemic risk. We evaluate the impact of their accounting and financial variables on systemic risk using the Adrian and Brunnermeier (2016)'s ∆CoVaR measure. The dataset is composed of 476 listed traditional and shadow European banking entities, over the period 2006:12015:4. We find that the size of financial institutions contributes more to systemic risk, in particular for MMFs. Market-to-book value ratio, beta and equity returns volatility play a crucial role in explaining systemic risk for FSs. Finally, for traditional banks, the short-term liability ratio is a key determinant in increasing systemic risk.
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影子银行在欧洲金融体系中的作用与系统性风险
2008年金融危机后,影子银行的发展被视为系统风险增加的决定因素之一。虽然影子银行体系的多样性在很大程度上被忽视了,但在本文中,我们将重点放在欧洲货币市场基金(mmf)和金融服务(FSs)上,以调查它们对系统风险的影响。我们使用Adrian和Brunnermeier(2016)的∆CoVaR度量来评估其会计和金融变量对系统风险的影响。该数据集由476家上市的传统和影子欧洲银行实体组成,时间跨度为2006:12015:4。我们发现,金融机构的规模对系统性风险的贡献更大,尤其是对mmf而言。市净率、贝塔和股本回报率波动性在解释金融服务机构的系统性风险方面起着至关重要的作用。最后,对于传统银行来说,短期负债率是增加系统性风险的关键决定因素。
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