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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorSchüler, Martinen_US
dc.date.accessioned2009-02-16T15:12:20Z-
dc.date.available2009-02-16T15:12:20Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/24785-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim-
dc.relation.ispartofseriesZEW Discussion Papers 02-21en_US
dc.subject.jelG21en_US
dc.subject.jelF34en_US
dc.subject.ddc330en_US
dc.subject.keywordsystemic risken_US
dc.subject.keywordbankingen_US
dc.subject.keywordcontagionen_US
dc.subject.keywordEuropeen_US
dc.subject.stwBankenkriseen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBanken_US
dc.subject.stwKorrelationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.subject.stwWesteuropaen_US
dc.titleThe threat of systemic risk in banking: evidence for Europeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn355173220en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:876-
Appears in Collections:ZEW Discussion Papers
Publikationen von Forscherinnen und Forschern des ZEW

Files in This Item:
File Description SizeFormat
dp0221.pdf537.62 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.