Articles liés à Cross-Border Bank Contagion in Europe

Cross-Border Bank Contagion in Europe - Couverture souple

Gropp, Reint; Duca, Marco Lo

 
9781249560173: Cross-Border Bank Contagion in Europe
Couverture souple
ISBN 10 : 1249560179 ISBN 13 : 9781249560173
Editeur : Bibliogov, 2012

Synopsis

We analyze cross-border contagion among European banks in the period from January 1994 to January 2003. We use a multinomial logit model to estimate, in a given country, the number of banks that experience a large shock on the same day ("coexceedances") as a function of common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily percentage change in distance to default of banks.We find evidence of significant cross-border contagion among large European banks, which is consistent with a tiered cross-border interbank structure. The results also suggest that contagion increased after the introduction of the euro.

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Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
1249560179
ISBN 13 
9781249560173
Reliure
Broché
Nombre de pages
46
Coordonnées du fabricant
non disponible
Personne responsable
non disponible