Estimating Spillover Risk Among Large EU Banks

November 1, 2007

Preview Citation

Format: Chicago

Li L Ong, and Martin Cihak. Estimating Spillover Risk Among Large EU Banks, (USA: International Monetary Fund, 2007) accessed December 26, 2024

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.

Subject: Banking, Commercial banks, Sovereign bonds, Spillovers, Stock markets

Keywords: Bank, Coupon yield, EU bank, WP

Publication Details

Pages:

26
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/267
Stock No:

WPIEA2007267
ISBN:

9781451868302
ISSN:

1018-5941

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