@techreport{Schuler2002threat,
abstract = {This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European banks, and hence for the systemic risk potential in Europe. National influences on stock returns are eliminated by estimating a return generating model. There is some evidence that interdependencies among European banks have increased over the past 15 years and that the potential of systemic risk has shifted from a national level to a European level.},
address = {Mannheim},
author = {Martin Sch\"{u}ler},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G21; F34; 330; systemic risk; banking; contagion; Europe; Bankenkrise; Finanzmarktkrise; Kapitalertrag; B\"{o}rsenkurs; Bank; Korrelation; Sch\"{a}tzung; EU-Staaten; Westeuropa},
language = {eng},
number = {02-21},
publisher = {Zentrum f\"{u}r Europ\"{a}ische Wirtschaftsforschung (ZEW)},
title = {The threat of systemic risk in banking: evidence for Europe},
type = {ZEW Discussion Papers},
url = {http://hdl.handle.net/10419/24785},
year = {2002}
}
