SPECULATIVE BUBBLE DYNAMICS AND SYSTEMIC RISK IN SHADOW BANKING INSTITUTIONS: EVIDENCE FROM THE UNITED STATES AND EUROPE

Andreea Elena CROICU

doi:10.65672/fs.2026.2.7

SPECULATIVE BUBBLE DYNAMICS AND SYSTEMIC RISK IN SHADOW BANKING INSTITUTIONS: EVIDENCE FROM THE UNITED STATES AND EUROPE

Authors

Andreea Elena CROICU - Bucharest University of Economic Studies, Romania; Institute for Economic Forecasting, Romanian Academy.

Landing page: https://www.icfm.ro/fs.icfm.ro/articles/vol30i2p146-165.html

PDF: Download / View PDF

DOI: 10.65672/fs.2026.2.7

This is the official DOI landing page for this article. The DOI resolves here (not directly to the PDF).

Abstract

This study investigates speculative bubble dynamics and systemic risk characteristics among listed shadow banking institutions in the United States and Europe over the period 2010–2026. To examine speculative dynamics, bubble episodes are identified using the Backward Supremum Augmented Dickey–Fuller (BSADF) methodology, while systemic risk is evaluated through a set of market-based indicators, including beta, Value at Risk (VaR), Expected Shortfall (ES), Conditional Value at Risk (CoVaR), Delta CoVaR (ΔCoVaR), and Marginal Expected Shortfall (MES). The results reveal that speculative bubble episodes constitute a recurrent feature of the shadow banking sector in both regions. Bubble activity appears more widespread in the U.S., whereas European institutions exhibit a more heterogeneous pattern, characterised by concentrated speculative episodes affecting fewer firms. Overall, the findings provide comparative evidence on speculative dynamics and systemic risk in two major financial markets and contribute to the growing literature on shadow banking, financial instability, and financial intermediation. The results further support the importance of continuous monitoring of non-bank financial institutions within macroprudential surveillance frameworks.

JEL Classification

G01, G12, G15, G21, G23

Keywords

non-bank financial institutions, systemic risk measures, financial stability, comparative assessment

How to cite

Andreea Elena CROICU (2026). SPECULATIVE BUBBLE DYNAMICS AND SYSTEMIC RISK IN SHADOW BANKING INSTITUTIONS: EVIDENCE FROM THE UNITED STATES AND EUROPE. Financial Studies, 30(2), 146-165. DOI: 10.65672/fs.2026.2.7.

RePEc record

Handle: RePEc:vls:finstu:v:30:y:2026:i:2:p:146-165