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dc.contributor.authorSchüler, Martinen
dc.date.accessioned2010-07-27-
dc.date.accessioned2010-09-24T14:30:05Z-
dc.date.available2010-09-24T14:30:05Z-
dc.date.issued2002-
dc.identifier.urihttp://hdl.handle.net/10419/40286-
dc.description.abstractThis 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.isoengen
dc.publisher|aDeutsche Bank Research |cFrankfurt a. M.en
dc.relation.ispartofseries|aResearch Notes |x3aen
dc.subject.jelG21en
dc.subject.jelF34en
dc.subject.ddc330en
dc.subject.keywordsystemic risken
dc.subject.keywordbankingen
dc.subject.keywordcontagionen
dc.subject.keywordEuropeen
dc.subject.stwBankenkriseen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwBanken
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.subject.stwWesteuropaen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwKorrelationen
dc.titleThe threat of systemic risk in banking - evidence for Europe-
dc.typeWorking Paperen
dc.identifier.ppn821841270en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:dbrrns:3aen

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