This study quantifies the effects of macroeconomic variables on various market-based systemic-risk measures in 24 European banks over the 2008–2019 period. In a first step, I measure daily systemic risk for banks based on $\Delta CoVaR$, MES, and SRISK frameworks, and examine the contributions of individual banks to aggregate systemic risk during specific stress events. Systemic risk in European banks has risen in the wake of the global financial crisis and the Brexit referendum result. In a second step, I investigate how macroeconomic conditions affect systemic risk in the short and long-run. I find that three systemic risk measures have a long-run stable relationship with EU industrial production, EU inflation, Euribor, and US equity market volatility, but some variables have opposite effects in the short and long-run.

本研究量化了 2008 年至 2019 年期间宏观经济变量对 24 家欧洲银行各种基于市场的系统性风险指标的影响。第一步，我根据以下指标衡量银行的日常系统性风险：$\Delta C哦VA右$、MES 和 SRISK 框架，并检查个别银行在特定压力事件期间对聚合系统风险的贡献。全球金融危机和英国脱欧公投结果之后，欧洲银行的系统性风险有所上升。第二步，我研究宏观经济状况如何影响短期和长期的系统性风险。我发现，三个系统性风险指标与欧盟工业生产、欧盟通胀、欧元同业拆借利率和美国股市波动具有长期稳定的关系，但某些变量在短期和长期内具有相反的影响。