|
EconStor >
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim >
ZEW Discussion Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/24785
|
| | |
| Title: | | The threat of systemic risk in banking: evidence for Europe  |
| Authors: | | Schüler, Martin |
| Issue Date: | | 2002 |
| Series/Report no.: | | ZEW Discussion Papers 02-21 |
| 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. |
| Subjects: | | systemic risk banking contagion Europe |
| JEL: | | G21 F34 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
|
| Files in This Item:
| |
| File |
Description |
Size | Format |
| dp0221.pdf | | 537.62 kB | Adobe PDF |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/24785
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|