Fragility or Contagion? Properties of Systemic Risk in the Selected Countries of Central and East-Central Europe

The paper quantifies two aspects of systemic risk in selected countries of Central and Eastern Europe over the period of 2006–2018: fragility and contagion. The paper adds to existing literature in three ways. Firstly, we present the results of calculation of two well-known measures (SRISK and CoVaR) for countries for which these measures were not calculated before due to technical problems with application, which we overcome by using our own proposals of modification. Secondly, by proposing our own methods of proxying we are able to include a significantly bigger number of systemically important financial institutions in the measurement of systemic risk than any other scientific paper quantifying this risk for the analyzed region. Thirdly, we propose an analysis of the two aspects of systemic risk (fragility or contagion) in the periods of the global financial crisis, European debt crisis and recently, during the economic stagnation period. The conclusions from the paper may serve as an important insight into how systemic risk changes with changing economic and financial markets’ condition and how it varies between different Central and East-Central European countries.