The threat of systemic risk in banking: evidence for Europe

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ZEW Discussion Papers ; No. 02-21

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; International Lending and Debt Problems
• Thema: systemic risk ; banking ; contagion ; Europe ; Bankenkrise ; Finanzmarktkrise ; Kapitalertrag ; Börsenkurs ; Bank ; Korrelation ; Schätzung ; EU-Staaten ; Westeuropa

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schüler, Martin
• Ereignis: Veröffentlichung
• (wer): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (wo): Mannheim
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/24785
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ