Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24785
Authors: 
Schüler, Martin
Year of Publication: 
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

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