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Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Research Notes No. 3a
Verlag: 
Deutsche Bank Research, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
systemic risk
banking
contagion
Europe
JEL: 
G21
F34
Dokumentart: 
Working Paper
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