TY  - UNPD
A1  - Gropp, Reint
A1  - Lo Duca, Marco
A1  - Vesala, Jukka
T1  - Cross-border bank contagion in Europe
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 175
N2  - 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.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 175 
KW  - banking
KW  - contagion
KW  - distance to default
KW  - multinomial logit model
KW  - Bank
KW  - Bankenkrise
KW  - Schneeballsystem
KW  - Geschichte 1994-2003
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/2454
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-43620
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -