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Estimating Spillover Risk Among Large EU Banks

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  • Li L. Ong
  • Martin Cihák
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    Abstract

    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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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=21459
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/267.

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    Length: 26
    Date of creation: 01 Nov 2007
    Date of revision:
    Handle: RePEc:imf:imfwpa:07/267

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    Postal: International Monetary Fund, Washington, DC USA
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    Web page: http://www.imf.org/external/pubind.htm
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    Related research

    Keywords: European Union; Financial stability; Spillovers; Banking systems; banking; stock market; bond; government bond; banking system; banking assets; financial markets; stock returns; stock price; stock exchange; stock market indices; bond yield; government bond yield; bondholders; stock prices; bond yields; government bond yields; financial statements; national bank; financial institutions; stock index; bank of greece; interbank market; sovereign bond; liquid markets; coupon bond; money center ? bank; banking supervision; bond index; stock price index; bank stocks; stock markets; financial contagion; financial sector; bank business; bonds; stock market index; banking system assets; bank data; banks ? balance sheets; local stock markets; stock market volatility; stock exchange index; bank default; bank exposures; government bonds; bank for international settlements; financial economics; bank failure; global stock market; financial regulation; bank asset;

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    Cited by:
    1. Martin Cihák & Wim Fonteyne, 2009. "Five Years After: European Union Membership and Macro-Financial Stability in the New Member States," IMF Working Papers 09/68, International Monetary Fund.
    2. Mark Swinburne & Stéphanie Marie Stolz & Marina Moretti, 2008. "Stress Testing at the IMF," IMF Working Papers 08/206, International Monetary Fund.

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