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Goethe-Universität Frankfurt am Main >
Fachbereich Wirtschaftswissenschaften, Universität Frankfurt a. M. >
Working Paper Series: Finance and Accounting, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/23439
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| Title: | | Cross-Border Bank Contagion in Europe  |
| Authors: | | Gropp, Reint Lo Duca, Marco Vesala, Jukka |
| Issue Date: | | 2007 |
| Series/Report no.: | | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 175 |
| Abstract: | | This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (?coexceedances?) as a function of variables measuring common shocks and coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the first difference in the daily distance to default of the bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification. |
| Subjects: | | Banking Contagion Distance to default Multinomial logit model |
| JEL: | | G15 G21 F36 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.
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