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Systemic risk in European banks: Analysis of the 2008–2023 period amid financial and non-financial shocks

Florin Aliu et al.

Borsa Istanbul Review2026https://doi.org/10.1016/j.bir.2026.100782article
ABDC B
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0.50

Abstract

The study examines the impact of significant financial and non-financial shocks on the extent to which returns and s-GARCH volatility are connected among the 13 biggest European banks. Financial shocks considered include the 2008/2009 financial crisis and European sovereign debt crisis in 2010/2011, while non-financial shocks encompass the COVID-19 pandemic and Russia–Ukraine war. Findings show that short-term connectedness consistently exhibits the strongest directional spillover effects. Concepts such as too big to fail and too interconnected to fail emerge as key factors that could shape future crises. During the 2008/2009 financial crisis and sovereign debt crisis, Deutsche Bank acted as a primary source of contagion within the European banking system. Conversely, at the time of the COVID-19 pandemic and Russia–Ukraine conflict, risk spillovers were chiefly transmitted by Internationale Nederlanden Groep and BNP Paribas. From a policy perspective, short-term spillovers provide early warning signals for regulators, pointing to potential liquidity shortages and funding challenges. In contrast, long-term spillovers expose deeper structural vulnerabilities, primarily stemming from banks' sovereign debt exposure and the cross-border flight of capital.

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https://doi.org/https://doi.org/10.1016/j.bir.2026.100782

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@article{florin2026,
  title        = {{Systemic risk in European banks: Analysis of the 2008–2023 period amid financial and non-financial shocks}},
  author       = {Florin Aliu et al.},
  journal      = {Borsa Istanbul Review},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.bir.2026.100782},
}

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