TY - JOUR AU - Hartmann, Philipp AU - Straetmans, Stefan AU - De Vries, Casper G TI - Banking System Stability: A Cross-Atlantic Perspective JF - National Bureau of Economic Research Working Paper Series VL - No. 11698 PY - 2005 Y2 - October 2005 DO - 10.3386/w11698 UR - http://www.nber.org/papers/w11698 L1 - http://www.nber.org/papers/w11698.pdf N1 - Author contact info: Philipp Hartmann Sonnemannstrasse 22 Frankfurt, 60314 Europe E-Mail: philipp.hartmann@ecb.int Stefan Straetmans Maastricht University P.O. Box 616 NL-6200 Maastrict NETHERLANDS E-Mail: s.straetmans@maastrichtuniversity.nl Casper de Vries Erasmus University Rotterdam Department of Economics, Accounting & Finance H8-3 P.O. Box 1738 3000 DR Rotterdam NETHERLANDS Tel: 31-10-4088956 E-Mail: cdevries@few.eur.nl M1 - published as Philipp Hartmann, Stefan Straetmans, Casper de Vries. "Banking System Stability. A Cross-Atlantic Perspective," in Mark Carey and René M. Stulz, editors, "The Risks of Financial Institutions" University of Chicago Press (2006) AB - This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion risk%u201D) and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s. ER -