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Modelling Interbank Relations during the International Financial Crisis

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  • Aslanidis, Nektarios
  • Savva, Christos S.
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    Abstract

    This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.

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    File URL: http://hdl.handle.net/2072/148475
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    Bibliographic Info

    Paper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/148475.

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    Date of creation: 2010
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    Handle: RePEc:urv:wpaper:2072/148475

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    Keywords: Mercats financers; Models economètrics; Crisis financeres; Bancs; Institucions financeres; 336 - Finances. Banca. Moneda. Borsa;

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    1. Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.
    2. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
    3. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(10), pages 1805-1827, October.
    4. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, School of Economics and Management, University of Aarhus.
    5. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(3), pages 339-50, July.
    6. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers, Banque de France 218, Banque de France.
    7. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued), Netherlands Central Bank, Monetary and Economic Policy Department 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department.
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