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 PDF Logo
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 SizeFormat
dp0221.pdf537.62 kBAdobe PDF
No. of Downloads: Counter Stats
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.