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Research Notes, Deutsche Bank Research >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40286
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schüler, Martin | | en_US |
| dc.date.accessioned | | 2010-07-27 | | en_US |
| dc.date.accessioned | | 2010-09-24T14:30:05Z | | - |
| dc.date.available | | 2010-09-24T14:30:05Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40286 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dt. Bank Research Frankfurt am Main | | en_US |
| dc.relation.ispartofseries | | Research notes working paper series 3a | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.jel | | F34 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | systemic risk | | en_US |
| dc.subject.keyword | | banking | | en_US |
| dc.subject.keyword | | contagion | | en_US |
| dc.subject.keyword | | Europe | | en_US |
| dc.subject.stw | | Bankenkrise | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Bank | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | EU-Staaten | | en_US |
| dc.subject.stw | | Westeuropa | | en_US |
| dc.subject.stw | | Finanzmarktkrise | | en_US |
| dc.subject.stw | | Korrelation | | en_US |
| dc.title | | The threat of systemic risk in banking: Evidence for Europe | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 356083047 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:dbrrns:3a | | - |
| Appears in Collections: | | Research Notes, Deutsche Bank Research
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