Arbeitspapier
Volatility Connectedness of Bank Stocks Across the Atlantic
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and the EU member countries. The results show that in the early stages of the US financial crisis in 2007 and 2008, the direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness from the EU banks to the US banks in June 2011 was unprecedented, reflecting the scale of deterioration in the state of the EU banks. Finally, the within-connectedness of the US banks fluctuated throughout our sample period, while the within-connectedness of the EU banks increased steadily since 2007, a reflection of the fact that the European debt and banking crisis has not ended yet.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1402
- Klassifikation
-
Wirtschaft
- Thema
-
Risk measurement
systemic risk
connectedness
systemically important financial institutions
vector autoregression
variance decomposition
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yilmaz, Kamil
- Ereignis
-
Veröffentlichung
- (wer)
-
Koç University-TÜSİAD Economic Research Forum (ERF)
- (wo)
-
Istanbul
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Yilmaz, Kamil
- Koç University-TÜSİAD Economic Research Forum (ERF)
Entstanden
- 2014
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