Estimating Spillover Risk Among Large EU Banks
November 1, 2007
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Summary
The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally remain more likely, but the number of significant cross-border links is already larger than the number of significant links among domestic banks, adding a piece of empirical evidence supporting the need for strong cross-border supervisory cooperation within the EU.
Subject: Banking, Commercial banks, Sovereign bonds, Spillovers, Stock markets
Keywords: bank, coupon yield, EU bank, WP
Pages:
26
Volume:
2007
DOI:
Issue:
267
Series:
Working Paper No. 2007/267
Stock No:
WPIEA2007267
ISBN:
9781451868302
ISSN:
1018-5941
