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TRANSMISSION OF SYSTEMIC STRESS TO THE EURO AREA BANKING SECTOR: THE PREDICTIVE POWER OF COMPOSITE INDICATOR OF SYSTEMIC STRESS FOR FINANCIAL STABILITY

Jelena Radojičić et al.

Facta Universitatas: Economics and Organization2025https://doi.org/10.22190/fueo250805012rarticle
ABDC C
Weight
0.50

What the paper says

This study investigates the effects of systemic stress on the euro area banking sector from 2005 to 2021. The rolling beta analysis, employed to gauge the sensitivity of changes in country-level systemic stress to changes in euro area-level stress, shows that systemic stress transmission is heterogeneous and multidimensional. Core economies, such as Germany and France, are more exposed to global shocks, while peripheral countries react strongly to region-specific crises. Panel regressions assess the impact of changes in systemic stress and market shocks on banking stability, measured by the NPL ratio and Z-score. Separate models are estimated to compare the explanatory power of the Composite Indicator of Systemic Stress at the euro area level (CISS) and at the country level (NEW CISS). Results indicate that country-level NEW CISS better explain credit quality deterioration, particularly through lagged effects, whereas aggregate CISS more consistently captures overall stability, with stress increases producing immediate negative effects on the Z-score. These findings highlight the value of composite stress indicators as early-warning tools for regulators and the importance of complementing euro area-wide measures with country-specific indicators to identify vulnerabilities and transmission channels more precisely.

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https://doi.org/https://doi.org/10.22190/fueo250805012r

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@article{jelena2025,
  title        = {{TRANSMISSION OF SYSTEMIC STRESS TO THE EURO AREA BANKING SECTOR: THE PREDICTIVE POWER OF COMPOSITE INDICATOR OF SYSTEMIC STRESS FOR FINANCIAL STABILITY}},
  author       = {Jelena Radojičić et al.},
  journal      = {Facta Universitatas: Economics and Organization},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.22190/fueo250805012r},
}

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TRANSMISSION OF SYSTEMIC STRESS TO THE EURO AREA BANKING SECTOR: THE PREDICTIVE POWER OF COMPOSITE INDICATOR OF SYSTEMIC STRESS FOR FINANCIAL STABILITY

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.