79
Views
0
CrossRef citations to date
0
Altmetric
Research Letter

Financial stability and European union allowances: a tale of jumps and regime shifts

ORCID Icon, ORCID Icon & ORCID Icon

References

  • Acharya, V. V., L. H. Pedersen, T. Philippon, and M. Richardson. 2017. “Measuring Systemic Risk.” The Review of Financial Studies 30 (1): 2–47. https://doi.org/10.1093/rfs/hhw088.
  • Adrian, T., and M. K. Brunnermeier. 2016. “CoVaR.” American Economic Review 106 (7): 1705–1741. https://doi.org/10.1257/aer.20120555.
  • Alogoskoufis, S., S. Carbone, W. Coussens, S. Fahr, M. Giuzio, F. Kuik, L. Parisi, D. Salakhova, and M. Spaggiari. 2021. “Climate-Related Risks to Financial Stability, Financial Stability Review.” European Central Bank 1. https://www.ecb.europa.eu/pub/financial-stability/fsr/html/index.en.html.
  • Battiston, S., Y. Dafermos, and I. Monasterolo. 2021. “Climate Risks and Financial Stability.” Journal of Financial Stability 54:100867. https://doi.org/10.1016/j.jfs.2021.100867.
  • Battiston, S., A. Mandel, I. Monasterolo, F. Schütze, and G. Visentin. 2017. “A Climate Stress-Test of the Financial System.” Nature Climate Change 7 (4): 283–288. https://doi.org/10.1038/nclimate3255.
  • Brunetti, C., B. Dennis, D. Gates, D. Hancock, D. Ignell, E. K. Kiser, G. Kotta, A. Kovner, R. J. Rosen, and N. K. Tabor. 2021. “Climate Change and Financial Stability.” FEDS Notes 2021 (2877). https://doi.org/10.17016/2380-7172.2893.
  • Dafermos, Y., and M. Nikolaidi. 2021. “How Can Green Differentiated Capital Requirements Affect Climate Risks? A Dynamic Macrofinancial Analysis.” Journal of Financial Stability 54:100871. https://doi.org/10.1016/J.JFS.2021.100871.
  • Drago, D., and R. Gallo. 2016. “The Impact and the Spillover Effect of a Sovereign Rating Announcement on the Euro Area CDS Market.” Journal of International Money and Finance 67:264–286. https://doi.org/10.1016/j.jimonfin.2016.06.004.
  • Dunz, N., A. Naqvi, and I. Monasterolo. 2021. “Climate Sentiments, Transition Risk, and Financial Stability in a Stock-Flow Consistent Model.” Journal of Financial Stability 54:100872. https://doi.org/10.1016/j.jfs.2021.100872.
  • Lee, S. S., and P. A. Mykland. 2008. “Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics.” The Review of Financial Studies 21 (6): 2535–2563. https://doi.org/10.1093/rfs/hhm056.
  • Lee, J., A. Naranjo, and G. Velioglu. 2018. “When Do CDS Spreads Lead? Rating Events, Private Entities, and Firm-Specific Information Flows.” Journal of Financial Economics 130 (30): 556–578. https://doi.org/10.1016/j.jfineco.2018.07.011.
  • Monasterolo, I. 2020. “Climate Change and the Financial System.” Annual Review of Resource Economics 12 (1): 299–320. https://doi.org/10.1146/annurev-resource-110119-031134.
  • Roncoroni, A., S. Battiston, L. O. L. Escobar-Farfán, and S. Martinez-Jaramillo. 2021. “Climate Risk and Financial Stability in the Network of Banks and Investment Funds.” Journal of Financial Stability 54:100870. https://doi.org/10.1016/j.jfs.2021.100870.
  • Safi, A., S. Wahab, F. Zeb, M. Amin, and Y. Chen. 2021. “Does Financial Stability and Renewable Energy Promote Sustainable Environment in G-7 Countries? The Role of Income and International Trade.” Environmental Science and Pollution Research International 28 (34): 47628–47640. https://doi.org/10.1007/s11356-021-13991-7.
  • Taylor, S. J., and B. Letham. 2018. “Forecasting at Scale.” The American Statistician 72 (1): 37–45. https://doi.org/10.1080/00031305.2017.1380080.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.