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http://hdl.handle.net/10419/40286
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| Title: | | The threat of systemic risk in banking: Evidence for Europe  |
| 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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