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dc.contributor.advisorRaatikainen, Juhani
dc.contributor.authorDoan, Tuan
dc.date.accessioned2022-03-14T06:09:48Z
dc.date.available2022-03-14T06:09:48Z
dc.date.issued2022
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/80090
dc.description.abstractThe recent financial crisis and sovereign debt crisis in Europe have highlighted the need for systemic risk measures for macroprudential policy purposes. This thesis im-plemented three frameworks proposed by Billio et al. (2012) and Diebold & Yilmaz (2009, 2012, 2014) to investigate the interconnectedness of the European banking sys-tem as measures of systemic risk. The frameworks are applied using market data of a sample of 28 largest banks in Europe from 2001 to 2018. The empirical results show that systemic risk measures based on market data can identify periods of financial dis-tress in the market. Besides, I also find that the European banking system in overall has become more connected, especially during the sovereign debt crisis. Different frameworks seem to depict quite different characteristics of the system connectedness. Moreover, the ranking of banks according to their contribution to the aggregate con-nectedness is not precisely consistent within itself over different periods. Nor is the banks’ ranking consistent among different frameworks. The forecast error variance de-composition framework in Diebold & Yilmaz (2009, 2012, 2014) has the best out of sample performance in terms of identifying banks with the biggest losses during the crisis period. In consistent with previous literature, I do not find a strong relationship between the connectedness measures and other measures such as MES and Delta-CoVaR. Therefore, the results call for a more systematic view of systemic risk at multi-ple aspects.en
dc.format.extent60
dc.language.isoen
dc.titleConnectedness as measures of systemic risk in the European banking system
dc.identifier.urnURN:NBN:fi:jyu-202203141796
dc.type.ontasotMaster’s thesisen
dc.type.ontasotPro gradu -tutkielmafi
dc.contributor.tiedekuntaKauppakorkeakoulufi
dc.contributor.tiedekuntaSchool of Business and Economicsen
dc.contributor.laitosTaloustieteetfi
dc.contributor.laitosBusiness and Economicsen
dc.contributor.yliopistoJyväskylän yliopistofi
dc.contributor.yliopistoUniversity of Jyväskyläen
dc.contributor.oppiaineTaloustiedefi
dc.contributor.oppiaineEconomicsen
dc.rights.copyrightJulkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty.fi
dc.rights.copyrightThis publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.en
dc.contributor.oppiainekoodi2041
dc.subject.ysotaloudelliset kriisit
dc.subject.ysorahoitusmarkkinat
dc.subject.ysofinanssikriisit
dc.subject.ysopankit
dc.subject.ysoriskit
dc.subject.ysosääntely
dc.subject.ysopankkiala
dc.subject.ysoeconomic crises
dc.subject.ysofinancial markets
dc.subject.ysofinancial crises
dc.subject.ysobanks (monetary institutions)
dc.subject.ysorisks
dc.subject.ysoregulation (control)
dc.subject.ysobanking sector


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