Arbeitspapier
The threat of systemic risk in banking: evidence for Europe
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ZEW Discussion Papers ; No. 02-21
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
International Lending and Debt Problems
- Subject
-
systemic risk
banking
contagion
Europe
Bankenkrise
Finanzmarktkrise
Kapitalertrag
Börsenkurs
Bank
Korrelation
Schätzung
EU-Staaten
Westeuropa
- Event
-
Geistige Schöpfung
- (who)
-
Schüler, Martin
- Event
-
Veröffentlichung
- (who)
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (where)
-
Mannheim
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schüler, Martin
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Time of origin
- 2002
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