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Speculative Bubble Dynamics And Systemic Risk In Shadow Banking Institutions: Evidence From The United States And Europe

Author

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  • CROICU, Andreea Elena

    (Bucharest University of Economic Studies, Romania; Institute for Economic Forecasting, Romanian Academy)

Abstract

This study investigates speculative bubble dynamics and systemic risk characteristics among listed shadow banking institutions in the United States and Europe over the period 2010–2026. To examine speculative dynamics, bubble episodes are identified using the Backward Supremum Augmented Dickey–Fuller (BSADF) methodology, while systemic risk is evaluated through a set of market-based indicators, including beta, Value at Risk (VaR), Expected Shortfall (ES), Conditional Value at Risk (CoVaR), Delta CoVaR (ΔCoVaR), and Marginal Expected Shortfall (MES). The results reveal that speculative bubble episodes constitute a recurrent feature of the shadow banking sector in both regions. Bubble activity appears more widespread in the U.S., whereas European institutions exhibit a more heterogeneous pattern, characterised by concentrated speculative episodes affecting fewer firms. Overall, the findings provide comparative evidence on speculative dynamics and systemic risk in two major financial markets and contribute to the growing literature on shadow banking, financial instability, and financial intermediation. The results further support the importance of continuous monitoring of non-bank financial institutions within macroprudential surveillance frameworks.

Suggested Citation

  • CROICU, Andreea Elena, 2026. "Speculative Bubble Dynamics And Systemic Risk In Shadow Banking Institutions: Evidence From The United States And Europe," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 30(2), pages 146-165, June.
    • Handle: RePEc:vls:finstu:v:30:y:2026:i:2:p:146-165
    DOI: https://doi.org/10.65672/fs.2026.2.7
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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