Systemic risk determinants in the European banking industry during financial crises, 2006-2012

The recent financial turmoil has stimulated a rich debate in banking and financial literature on the identification of systemic risk determinants and devices to forecast and prevent crises. This paper explores the contribution of corporate variables to systemic risk using the CoVaR approach (Adrian and Brunnermeier, 2016). Using balanced panel data on 141 European banks from 24 countries, which were listed from 2006Q1 to 2012Q4, we investigated the impact of corporate variables during the three regimes that characterised the European banking sector-the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2), and the sovereign debt crisis (2010Q3-2012Q4). Our results show that size did not play a significant role in spreading systemic risk, while maturity mismatch did. However, the nature and intensity of these two determinants varied across the three regimes.