NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Marco D'Errico

University of Zurich
Plattenstrasse 14
8032 Zurich
Switzerland

E-Mail: marco.derrico@uzh.ch
Institutional Affiliation: IBF - Universität Zürich

NBER Working Papers and Publications

March 2017Mapping the Interconnectedness between EU Banks and Shadow Banking Entities
with Jorge Abad, Neill Killeen, Vera Luz, Tuomas Peltonen, Richard Portes, Teresa Urbano: w23280
This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk monitoring. From a macroprudential perspective, the identification of potential feedback and contagion channels arising from the linkages of banks and shadow banking entities is particularly challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks’ exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks’ exposures are diversified although this diversification leads to hig...
 
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