Estimating Spillover Risk Among Large EU Banks
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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.
Series:
Working Paper No. 2007/267
Subject:
Banking Commercial banks Sovereign bonds Spillovers Stock markets
English
Publication Date:
November 1, 2007
ISBN/ISSN:
9781451868302/1018-5941
Stock No:
WPIEA2007267
Pages:
26
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