Measuring bank contagion in Europe using binary spatial regression models View Full Text


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Article Info

DATE

2017-12

AUTHORS

Raffaella Calabrese, Johan A. Elkink, Paolo S. Giudici

ABSTRACT

The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank has assumed the supervision of the largest banks in each of the member states. We propose a measure of contagion risk based on the spatial autocorrelation parameter of a binary spatial autoregressive model. Using different specifications of the interbank connectivity matrix, we estimate the contagion parameter for banks within the Eurozone, between 1996 and 2012. We provide evidence of high levels of systemic risk due to contagion during the European sovereign debt crisis. More... »

PAGES

1503-1511

References to SciGraph publications

  • 1998-04. Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems in JOURNAL OF FINANCIAL SERVICES RESEARCH
  • 2015-11. Estimating bank default with generalised extreme value regression models in JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
  • 2011-12. Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework in JOURNAL OF FINANCIAL SERVICES RESEARCH
  • 2013-06. Assessing interbank contagion using simulated networks in COMPUTATIONAL MANAGEMENT SCIENCE
  • 2004. Techniques for Estimating Spatially Dependent Discrete Choice Models in ADVANCES IN SPATIAL ECONOMETRICS
  • 2013-12. Early-warning signals of topological collapse in interbank networks in SCIENTIFIC REPORTS
  • 2004. Probit in a Spatial Context: A Monte Carlo Analysis in ADVANCES IN SPATIAL ECONOMETRICS
  • 2001-02. The Political Economy of Distress in East Asian Financial Institutions in JOURNAL OF FINANCIAL SERVICES RESEARCH
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    http://scigraph.springernature.com/pub.10.1057/s41274-017-0189-4

    DOI

    http://dx.doi.org/10.1057/s41274-017-0189-4

    DIMENSIONS

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