Atasoy, Burak SencerOzkan, IbrahimErden, Lutfi2025-05-112025-05-1120240264-99931873-6122https://doi.org/10.1016/j.econmod.2023.106596https://hdl.handle.net/20.500.12416/9545Atasoy, Burak Sencer/0000-0001-8680-7531; Ozkan, Ibrahim/0000-0002-1092-8123; Erden, Lutfi/0000-0002-9365-6599The elevated interconnectedness of the global financial system has resulted in an increased frequency of financial crises, characterized by the swift transmission of turmoil between countries. This study introduces a novel quantile-connectedness-based contagion metric and investigates the drivers of systemic risk contagion, employing methodologies that address endogeneity and time-variation. We analyze data spanning two decades from 27 international banks and encompassing balance sheet-derived variables. Our findings indicate that contagion during the 2004-2021 period is largely driven by credit risk and leverage, while the impact of size and capital adequacy weakens after 2012. Furthermore, funding structure and profitability only display a significant effect during the 2014-2017 and Covid-19 periods, respectively. We also observe distinct peaks and troughs in each bank's systemic risk propagation, although they share commonalities with their counterparts. Given our findings, we suggest a holistic systemic risk surveillance model that employs high-frequency data and simultaneously incorporates multiple risk factors.eninfo:eu-repo/semantics/closedAccessContagionSystemic RiskBankingSpilloversTail RiskArticle13010.1016/j.econmod.2023.1065962-s2.0-85177839882WOS:001125204600001Q1Q1