Estimating Spillover Risk Among Large EU Banks

Author/Editor:

Li L Ong ; Martin Cihak

Publication Date:

November 1, 2007

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Series:

Working Paper No. 07/267

Subject:

English

Publication Date:

November 1, 2007

ISBN/ISSN:

9781451868302/1018-5941

Stock No:

WPIEA2007267

Format:

Paper

Pages:

26

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