What Drives Banking Sector Fragility in the Eurozone? Evidence from Stock Market Data

22 Pages Posted: 9 Jun 2012

See all articles by Stefan Eichler

Stefan Eichler

Leibniz Universität Hannover; Halle Institute for Economic Research

Karol Sobanski

affiliation not provided to SSRN

Date Written: July 2012

Abstract

This article explores the determinants of banking sector fragility in the eurozone. For this purpose, a stock‐market‐based banking sector fragility indicator is calculated for eight member countries from 1999 to 2009 using the Merton model (1974). Using a panel framework, it is found that the macroeconomic environment, the structure of the banking sector and the intensity of banking regulation all have an effect on banking sector fragility in the eurozone.

Suggested Citation

Eichler, Stefan and Sobanski, Karol, What Drives Banking Sector Fragility in the Eurozone? Evidence from Stock Market Data (July 2012). JCMS: Journal of Common Market Studies, Vol. 50, Issue 4, pp. 539-560, 2012, Available at SSRN: https://ssrn.com/abstract=2080379 or http://dx.doi.org/10.1111/j.1468-5965.2012.02252.x

Stefan Eichler (Contact Author)

Leibniz Universität Hannover

Institute of Money and International Finance
Koenigsworther Platz 1
Hannover, 30167
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Karol Sobanski

affiliation not provided to SSRN

No Address Available

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