Cross-Border Bank Contagion in Europe

Arbeitspapier

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 coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the first difference in the daily 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper Series: Finance & Accounting ; No. 175

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Aspects of Economic Integration
• Subject: Banking ; Contagion ; Distance to default ; Multinomial logit model ; Finanzmarkt ; Kreditgeschäft ; Internationale Kapitalmobilität ; Europäische Wirtschafts- und Währungsunion ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gropp, Reint E. ; Lo Duca, Marco ; Vesala, Jukka
• Event: Veröffentlichung
• (who): Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
• (where): Frankfurt a. M.
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/23439
• Last update: 10.03.2025, 11:43 AM CET