Systemic turbulence and risk spillovers in IBOR rates in Europe
Journal: Argumenta Oeconomica
Year: 2025

Aim: The aim of the study was to investigate whether all European IBOR rates were similarly susceptible to turbulence as LIBOR rates, and also to analyse systemic risk spillovers between different IBOR rates in Europe and between these rates and the studied banking systems between 2006 and 2022. Methodology: The interbank market turbulence measure (ITM) and ΔCoVaR were applied to analyse immediate spillovers based on coefficient analysis and rank the markets based on turbulence characteristics.