In this paper, we evaluate whether banks and non-banks size and systemic risk are affected by their level of leverage. We implement a threshold analysis to a sample of European traditional banks and non-banks (Finance services and Real Estate Finance Services) over 2006:1-2019:4. We find that Finance Services show positive co-movements between leverage and size, independently of the level of leverage, while for traditional banks the level of leverage matters. Both banks and non-banks show positive correlation between leverage and systemic risk. During periods of crisis, SRISK measure of systemic risk allows to identify an optimal level of leverage.

中文翻译：

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是否存在最佳杠杆水平？欧洲银行和非银行机构的案例

在本文中，我们评估银行和非银行机构的规模和系统性风险是否受到其杠杆水平的影响。我们对 2006 年 1 月至 2019 年 4 年间的欧洲传统银行和非银行（金融服务和房地产金融服务）样本进行了阈值分析。我们发现，金融服务业在杠杆和规模之间表现出积极的联动关系，而与杠杆水平无关，而对于传统银行来说，杠杆水平很重要。银行和非银行机构的杠杆率与系统性风险之间均呈现正相关关系。在危机期间，系统风险的 SRISK 衡量标准可以确定最佳杠杆水平。