IDEAS home Printed from https://ideas.repec.org/a/bde/revist/y2022i11n2.html
   My bibliography  Save this article

Structural risk indicators for the Spanish banking sector

Author

Listed:
  • Carmen Broto
  • Mariya Melnychuk

Abstract

Los riesgos estructurales son riesgos a largo plazo de carácter no cíclico, derivados de las características estructurales del sistema financiero y de la economía en general. A este respecto, el colchón contra riesgos sistémicos es una herramienta macroprudencial dotada de bastante flexibilidad que trata de abordar dichos riesgos. Sin embargo, la normativa de la Unión Europea (UE) todavía es flexible con respecto a la activación y la liberación de este colchón. Aunque definir claramente estos indicadores es esencial para la detección temprana de vulnerabilidades que puedan desembocar en una crisis, en la práctica, cada autoridad nacional establece su propio conjunto de indicadores. Este trabajo persigue un doble objetivo. Primero, seleccionar una serie de indicadores relevantes para el seguimiento periódico de los riesgos estructurales del sector bancario español y, segundo, desarrollar un mapa de riesgos estructurales que compare las variables españolas con las de la UE. La evidencia empírica sugiere que el sector bancario español comparte la mayoría de las características estructurales de las economías de la UE. Según el análisis desarrollado, en la actualidad no se identifican riesgos estructurales que puedan constituir una amenaza para el sector bancario español.

Suggested Citation

  • Carmen Broto & Mariya Melnychuk, 2022. "Structural risk indicators for the Spanish banking sector," Revista de Estabilidad Financiera, Banco de España, issue Otoño.
    • Handle: RePEc:bde:revist:y:2022:i:11:n:2
    Note: 43
    as

    Download full text from publisher

    File URL: https://www.bde.es/f/webbde/GAP/Secciones/Publicaciones/InformesBoletinesRevistas/RevistaEstabilidadFinanciera/22/2_REF43_Structural.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Leonardo Gambacorta & Adrian van Rixtel, 2013. "Structural bank regulation initiatives: approaches and implications," BANCARIA, Bancaria Editrice, vol. 6, pages 14-27, June.
    2. Aikman, David & Kiley, Michael & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka, 2017. "Mapping heat in the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 36-64.
    3. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260, National Bureau of Economic Research, Inc.
    4. Jan Willem Van den End, 2016. "A macroprudential approach to address liquidity risk with the loan-to-deposit ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 22(3), pages 237-253, February.
    5. Tobias Adrian & Dong He & Nellie Liang & Fabio M Natalucci, 2019. "A Monitoring Framework for Global Financial Stability," IMF Staff Discussion Notes 19/06, International Monetary Fund.
    6. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
    7. Irma Alonso & Luis Molina, 2021. "A GPS navigator to monitor risks in emerging economies: the vulnerability dashboard," Occasional Papers 2111, Banco de España.
    8. Jean-Charles Rochet & Jean Tirole, 1996. "Interbank lending and systemic risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 733-765.
    9. Mr. Tobias Adrian & Mr. Dong He & Nellie Liang & Mr. Fabio M Natalucci, 2019. "A Monitoring Framework for Global Financial Stability," IMF Staff Discussion Notes 2019/006, International Monetary Fund.
    10. Mariassunta Giannetti & Farzad Saidi, 2019. "Shock Propagation and Banking Structure," The Review of Financial Studies, Society for Financial Studies, vol. 32(7), pages 2499-2540.
    11. Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
    12. Laeven, Luc & Ratnovski, Lev & Tong, Hui, 2016. "Bank size, capital, and systemic risk: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 25-34.
    13. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
    14. Leonardo Gambacorta & Jing Yang & Kostas Tsatsaronis, 2014. "Financial structure and growth," BIS Quarterly Review, Bank for International Settlements, March.
    15. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic risk in global banking: what can available data tell us and what more data are needed?," BIS Working Papers 376, Bank for International Settlements.
    16. Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
    17. Thorsten Beck & Olivier De Jonghe & Klaas Mulier, 2022. "Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1705-1739, September.
    18. Silvia GABRIEL & Ramona JIMBOREAN, 2020. "Systemic risk buffer: what would this instrument be used for? [Coussin pour le risque systémique : à quoi servirait cet instrument ?]," Bulletin de la Banque de France, Banque de France, issue 227.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Carmen Broto & Mariya Melnychuk, 2022. "Structural risk indicators for the Spanish banking sector," Financial Stability Review, Banco de España, issue Autumn.
    2. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    3. Nan Chen & Xin Liu & David D. Yao, 2016. "An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect," Operations Research, INFORMS, vol. 64(5), pages 1089-1108, October.
    4. D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018. "How does risk flow in the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
    5. Elliott, Matthew & Georg, Co-Pierre & Hazell, Jonathon, 2021. "Systemic risk shifting in financial networks," Journal of Economic Theory, Elsevier, vol. 191(C).
    6. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach," Discussion Papers 2022/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    7. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    8. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," Economic Modelling, Elsevier, vol. 109(C).
    9. Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
    10. Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda, 2018. "Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis," Papers 1802.05139, arXiv.org.
    11. Franklin Allen & Xian Gu, 2018. "The Interplay between Regulations and Financial Stability," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(2), pages 233-248, June.
    12. Ramírez, Carlos, 2020. "Regulating financial networks under uncertainty," ESRB Working Paper Series 107, European Systemic Risk Board.
    13. Carlos Ramírez, 2019. "Regulating Financial Networks Under Uncertainty," Finance and Economics Discussion Series 2019-056, Board of Governors of the Federal Reserve System (U.S.).
    14. Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    15. Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston, 2020. "Network valuation in financial systems," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1181-1204, October.
    16. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
    17. Eboli, Mario, 2019. "A flow network analysis of direct balance-sheet contagion in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 205-233.
    18. Maxim Bichuch & Zachary Feinstein, 2020. "A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms," Papers 2005.05364, arXiv.org, revised Mar 2021.
    19. Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
    20. Peydró, José-Luis & Jiménez, Gabriel & Kenan, Huremovic & Moral-Benito, Enrique & Vega-Redondo, Fernando, 2020. "Production and financial networks in interplay: Crisis evidence from supplier-customer and credit registers," CEPR Discussion Papers 15277, C.E.P.R. Discussion Papers.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bde:revist:y:2022:i:11:n:2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdegves.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.