Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/24785
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Schüler, Martin | en |
dc.date.accessioned | 2009-02-16T15:12:20Z | - |
dc.date.available | 2009-02-16T15:12:20Z | - |
dc.date.issued | 2002 | - |
dc.identifier.uri | http://hdl.handle.net/10419/24785 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheim | en |
dc.relation.ispartofseries | |aZEW Discussion Papers |x02-21 | en |
dc.subject.jel | G21 | en |
dc.subject.jel | F34 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | systemic risk | en |
dc.subject.keyword | banking | en |
dc.subject.keyword | contagion | en |
dc.subject.keyword | Europe | en |
dc.subject.stw | Bankenkrise | en |
dc.subject.stw | Finanzmarktkrise | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Bank | en |
dc.subject.stw | Korrelation | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | EU-Staaten | en |
dc.subject.stw | Westeuropa | en |
dc.title | The threat of systemic risk in banking: evidence for Europe | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 355173220 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:zewdip:876 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.