Front Matter Page
European Department and Monetary and Capital Markets Department
Contents
Abstract
I. Introduction
II. Related Literature
A. Bank Exposures to Common Shocks
B. Bank Exposures to Other Banks
III. Estimation Framework
A. Factor Specification
B. Estimated Bank Betas: Relation with Bank Characteristics
C. Bank to Bank Spillovers
IV. Data
V. Regression Results: Financial Linkages from 2003H1 to 2011H2
A. Global vs. Country Risk
B. Bank Betas and Bank Characteristics
C. Bank Spillovers
D. Robustness Check
VI. Conclusions and Policy Implications
References