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L’interconnexion du système financier européen : le pire est-il derrière nous ?

Author

Listed:
  • Philippe Madiès

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Mathis Mourey

    (The Hague University of Applied Sciences, CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Ollivier Taramasco

    (Grenoble INP ENSIMAG - École nationale supérieure d'informatique et de mathématiques appliquées - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes, CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

Abstract

We discuss the role of interconnectedness in the assessment of systemic risk. As the financial crises of recent decades have shown, measuring systemic risk represents a strategic challenge, both for governments as well for regulatory and supervisory bodies. Recent studies on this topic show that interconnectedness within financial systems, that is to say the way in which economic agents interact, is a key element of systemic risk. On the basis of an econometric study, we show the dynamics of interconnectedness in the European financial system between 2005 and 2018. We use the approach proposed by Kindleberger (1978) and Minsky (1982) to analyze the role of interconnection in a financial crisis. The interconnection spikes observed during the subprime crisis and the European sovereign crisis attest to its importance. However, whether interconnection is a precursor of a systemic crisis or a consequence remains unclear.

Suggested Citation

  • Philippe Madiès & Mathis Mourey & Ollivier Taramasco, 2023. "L’interconnexion du système financier européen : le pire est-il derrière nous ?," Post-Print hal-04688429, HAL.
    • Handle: RePEc:hal:journl:hal-04688429
    DOI: 10.3917/ecofi.150.0289
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