Cross-Border Bank Contagion in Europe (Paperback) (ISBN-13: 9781249560173)

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.

Author: International Journal of Central Banking,Reint Gropp,Marco Lo Duca
ISBN-10: 1249560179
ISBN-13: 9781249560173
Publisher: Bibliogov
Language: English
Published: 09/27/2012
Pages: 46
Format: Paperback
Weight: 0.22lbs
Size: 9.69h x 7.44w x 0.10d