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http://hdl.handle.net/10419/23439
  
Title:Cross-Border Bank Contagion in Europe PDF Logo
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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