IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v53y2021i13p1463-1497.html
   My bibliography  Save this article

Cyclical behaviour of systemic risk in the banking sector

Author

Listed:
  • Alin Marius Andrieș
  • Nicu Sprincean

Abstract

This paper examines cyclical behaviour of banks’ systemic risk contribution and exposure. Using a panel of 787 banks from country members of the Organization for Economic Co-operation and Development and the European Union covering the period 2000–2017, we document that both systemic risk contribution and exposure are positively related to business cycle. Systemic risk starts to accumulate in the financial sector during periods of boom when the output gap is positive. Furthermore, during periods of robust economic growth, the level of credit tends to increase dramatically, going hand in hand with asset and property prices developments. We also find that contribution and exposure to system-wide distress move procyclically during credit and house cycles, meaning that during upturns in credit and house cycles bank interconnectedness increases, but tend to fall during the downturns. However, individual risk of the banks evolves countercyclically during business and financial cycles.

Suggested Citation

  • Alin Marius Andrieș & Nicu Sprincean, 2021. "Cyclical behaviour of systemic risk in the banking sector," Applied Economics, Taylor & Francis Journals, vol. 53(13), pages 1463-1497, March.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:13:p:1463-1497
    DOI: 10.1080/00036846.2020.1822511
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2020.1822511
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2020.1822511?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. He, Wenjia & He, Wenjing & Xu, Dandan & Yue, Pengpeng, 2023. "Economic volatility, banks’ risk accumulation and systemic risk," Finance Research Letters, Elsevier, vol. 57(C).
    2. Stefano Zedda & Antonella Spinace-Casale, 2021. "Modeling and Simulating Cross Country Banking Contagion Risks," JRFM, MDPI, vol. 14(8), pages 1-16, July.
    3. Alin Marius ANDRIEȘ & Sabina CAZAN & Nicu SPRINCEAN, 2022. "The Nexus between Bank M&As and Financial Development," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, April.
    4. Andries, Alin Marius & Balutel, Daniela, 2022. "The impact of national culture on systemic risk," Economic Systems, Elsevier, vol. 46(2).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:53:y:2021:i:13:p:1463-1497. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.