Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153096
Authors: 
Gropp, Reint
Lo Duca, Marco
Vesala, Jukka
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 662
Abstract: 
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily percentage change in the distance to default of the bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification.
Subjects: 
banking
Contagion
Distance to default
Multinomial logit model
JEL: 
G21
F36
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
886.72 kB





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