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http://hdl.handle.net/10419/40286
  
Title:The threat of systemic risk in banking: Evidence for Europe PDF Logo
Authors:Schüler, Martin
Issue Date:2002
Series/Report no.:Research notes working paper series 3a
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:Research Notes, Deutsche Bank Research

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