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Estimating Spillover Risk Among Large EU Banks
Author:
Ms. Li L Ong
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and
Mr. Martin Cihak
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https://orcid.org/0000-0002-3571-9707
Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 267
Language:
English
Publication Date:
01 Nov 2007
DOI:
https://doi.org/10.5089/9781451868302.001
ISBN:
9781451868302
ISSN:
1018-5941
Pages:
26
Keywords:
WP; EU bank; bank; coupon yield
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund