This paper provides a new perspective on the relationship between countries׳ international reserve holdings and financial crises: while the “local” view holds that reserves may prevent domestic crises, it overlooks that the accumulation of reserves relaxes the financing constraint of the...

This study assesses the dependence structure of insurance sector credit default swap indices, using a copula-GARCH approach. We use daily data of the US, EU, and UK insurance sectors, covering the period from January 2004 to June 2013. We find substantial increases in dependence during the...

The paper analyses the relationship between excessive credit growth and the development of systemic risk, which subsequently materializes into losses of banking sector credit portfolios. The systemic risk indicator captures the time dimension of systemic risk, and hence represents the function...

The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective towards financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by...

We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting conjectures that bank size, leverage, non-interest income or the quality of the bank’s credit portfolio are...

Are some insurers relevant for the stability of the financial system? And if yes, what firm fundamentals and aspects of insurers’ business models cause them to destabilize an entire financial sector? We find that several insurers did indeed contribute significantly to the instability of the...

We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents – domestic...

We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following...

We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylized financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents –...

This chapter surveys the literature on bubbles, financial crises, and systemic risk. The first part of the chapter provides a brief historical account of bubbles and financial crisis. The second part of the chapter gives a structured overview of the literature on financial bubbles. The third...