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Systemic risk in the major Eurobanking markets: Evidence from inter-bank offered rates

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  • Simpson, J.L.
  • Evans, J.P.

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 16 (2005)
Issue (Month): 2 (December)
Pages: 125-144

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Handle: RePEc:eee:glofin:v:16:y:2005:i:2:p:125-144

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Web page: http://www.elsevier.com/locate/inca/620162

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  1. Goodhart, Charles & Schoenmaker, Dirk, 1995. "Should the Functions of Monetary Policy and Banking Supervision Be Separated?," Oxford Economic Papers, Oxford University Press, Oxford University Press, vol. 47(4), pages 539-60, October.
  2. Swary, Itzhak, 1986. "Stock Market Reaction to Regulatory Action in the Continental Illinois Crisis," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 59(3), pages 451-73, July.
  3. David G. Hartman, 1980. "The International Financial Market and U.S. Interest Rates," NBER Working Papers 0598, National Bureau of Economic Research, Inc.
  4. Aharony, Joseph & Swary, Itzhak, 1983. "Contagion Effects of Bank Failures: Evidence from Capital Markets," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 56(3), pages 305-22, July.
  5. Patric H. Hendershott, 1967. "The Structure Of International Interest Rates: The U.S. Treasury Bill Rate And The Eurodollar Deposit Rate," Journal of Finance, American Finance Association, American Finance Association, vol. 22(3), pages 455-465, 09.
  6. Kugler, Peter & Neusser, K, 1993. "International Real Interest Rate Equalization: A Multivariate Time-Series Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(2), pages 163-74, April-Jun.
  7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  8. Korndörfer, Petra, 1997. "The link between interest rates on interbank money and for credit lines: are asymmetric interest rate adjustments empirically evident?," Discussion Papers, Research Unit: Market Dynamics, Social Science Research Center Berlin (WZB) FS IV 97-37, Social Science Research Center Berlin (WZB).
  9. Nunnenkamp, Peter, 1999. "Latin America after the currency crash in Brazil : why the optimists may be wrong," Kiel Discussion Papers, Kiel Institute for the World Economy (IfW) 337, Kiel Institute for the World Economy (IfW).
  10. Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 7(2), pages 205-24, May.
  11. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 20(1), pages 73-103, July.
  12. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, Elsevier, vol. 51(1), pages 145-168, June.
  13. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 159-178.
  14. Kaen, Fred R & Hachey, George A, 1983. "Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 15(3), pages 327-38, August.
  15. Hernandez, Leonardo F. & Valdes, Rodrigo O., 2001. "What drives contagion: Trade, neighborhood, or financial links?," International Review of Financial Analysis, Elsevier, Elsevier, vol. 10(3), pages 203-218.
  16. Goodhart, C A E, 1987. "Why Do Banks Need a Central Bank?," Oxford Economic Papers, Oxford University Press, Oxford University Press, vol. 39(1), pages 75-89, March.
  17. Hartman, David G., 1984. "The international financial market and US interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 3(1), pages 91-103, April.
  18. Currie,David & Levine,Paul, 1993. "Rules, Reputation and Macroeconomic Policy Coordination," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521441964.
  19. Aharony, Joseph & Swary, Itzhak, 1996. "Additional evidence on the information-based contagion effects of bank failures," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(1), pages 57-69, January.
  20. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 423-33, March.
  21. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, Elsevier, vol. 11(2), pages 91-108.
  22. Fung, Hung-Gay & Isberg, Steven C., 1992. "The international transmission of eurodollar and US interest rates: A cointegration analysis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 16(4), pages 757-769, August.
  23. Grossman Richard S., 1993. "The Macroeconomic Consequences of Bank Failures under the National Banking System," Explorations in Economic History, Elsevier, Elsevier, vol. 30(3), pages 294-320, July.
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