We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty …

builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …