The Threat of Systemic Risk in Banking – Evidence for Europe


Schüler, Martin


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URL: http://ub-madoc.bib.uni-mannheim.de/423
URN: urn:nbn:de:bsz:180-madoc-4235
Document Type: Working paper
Year of publication: 2002
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: F34 G21 ,
Subject headings (SWD): Europa , Risikoanalyse , Bank
Abstract: 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.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schüler, Martin (2002) The Threat of Systemic Risk in Banking – Evidence for Europe. Open Access [Working paper]
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