Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57781
Authors: 
Podlich, Natalia
Wedow, Michael
Year of Publication: 
2011
Series/Report no.: 
Discussion Paper Series 2: Banking and Financial Studies 2011,15
Abstract: 
We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our results suggest that contagion from dealer banks have the most prominent effect on the German financial system. While dealer banks impact on German banks and insurance companies in a similar way, a deterioration in the CDS spreads of dealer banks has a particularly pronounced effect on German dealer banks.
Subjects: 
Systemic Risk
CDS Spreads
Contagion
OTC Dealer
JEL: 
G14
G21
G28
ISBN: 
978-3-86558-779-4
Document Type: 
Working Paper

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