{"product_id":"cross-border-bank-contagion-in-europe-international-journal-of-central-banking-9781249560173","title":"Cross-Border Bank Contagion in Europe","description":"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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e International Journal of Central Banking,Reint Gropp,Marco Lo Duca\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1249560179\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781249560173\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 09\/27\/2012\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 46\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.22lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.10d","brand":"International Journal of Central Banking","offers":[{"title":"Paperback","offer_id":48994297708799,"sku":"9781249560173","price":15.75,"currency_code":"USD","in_stock":true}],"url":"https:\/\/www.whiterainbookhouse.com\/products\/cross-border-bank-contagion-in-europe-international-journal-of-central-banking-9781249560173","provider":"WR Book House","version":"1.0","type":"link"}