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Cross-Border Bank Contagion in Europe

Citations

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Cited by:

  1. Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016. "Structure and dynamics of the global financial network," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 218-234.
  2. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
  3. Fernando M. Duarte & Collin Jones, 2017. "Empirical network contagion for U.S. financial institutions," Staff Reports 826, Federal Reserve Bank of New York.
  4. João Barata Ribeiro Blanco Barroso & Thiago Christiano Silva & Sergio Rubens Stancato de Souza, 2016. "Decomposition of Systemic Risk Drivers in Evolving Financial Networks," Working Papers Series 448, Central Bank of Brazil, Research Department.
  5. Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
  6. Daly, Kevin & Batten, Jonathan A. & Mishra, Anil V. & Choudhury, Tonmoy, 2019. "Contagion risk in global banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  7. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
  8. repec:zbw:bofrdp:2009_006 is not listed on IDEAS
  9. Hans Degryse & Muhammad Ather Elahi & Maria Fabiana Penas, 2010. "Cross‐Border Exposures and Financial Contagion," International Review of Finance, International Review of Finance Ltd., vol. 10(2), pages 209-240, June.
  10. Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 575-598, June.
  11. Giovanni Lombardo & Peter McAdam, 2010. "Incorporating financial frictions into new-generation macro models," Research Bulletin, European Central Bank, vol. 9, pages 13-16.
  12. Michiel Bijlsma & Wim Suyker, 2008. "The credit crisis and the Dutch economy... in eight frequently asked questions," CPB Memorandum 210.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  13. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.
  14. Degryse, Hans & Penas, Maria Fabiana & Elahi, Muhammad Ather, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers 8858, C.E.P.R. Discussion Papers.
  15. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
  16. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
  17. Wan-Chien Chiu & Juan Ignacio Pe~na & Chih-Wei Wang, 2022. "Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects," Papers 2202.02276, arXiv.org.
  18. Krause, Andreas & Giansante, Simone, 2012. "Interbank lending and the spread of bank failures: A network model of systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 583-608.
  19. Toivanen, Mervi, 2009. "Financial interlinkages and risk of contagion in the Finnish interbank market," Bank of Finland Research Discussion Papers 6/2009, Bank of Finland.
  20. Apostolakis, George N. & Floros, Christos & Giannellis, Nikolaos, 2022. "On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 156-176.
  21. Michiel Bijlsma & Sander Muns, 2011. "Systemic risk across sectors; Are banks different?," CPB Discussion Paper 175.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  22. Morrison, Alan & Vasios, Michalis & Wilson, Mungo & Zikes, Filip, 2017. "Identifying contagion in a banking network," Bank of England working papers 642, Bank of England.
  23. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2018. "Extremal dependence tests for contagion," Econometric Reviews, Taylor & Francis Journals, vol. 37(6), pages 626-649, July.
  24. Reint Gropp & Anil K Kashyap, 2010. "A New Metric for Banking Integration in Europe," NBER Chapters, in: Europe and the Euro, pages 219-246, National Bureau of Economic Research, Inc.
  25. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
  26. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4534-4555.
  27. T. Flavin & M.Dongey & L. Sheenan, 2020. "Banks and Sovereigns: Did adversity bring them closer?," Economics Department Working Paper Series n307-20.pdf, Department of Economics, National University of Ireland - Maynooth.
  28. Leroy, Aurélien & Lucotte, Yannick, 2017. "Is there a competition-stability trade-off in European banking?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 199-215.
  29. repec:zbw:bofrdp:2013_019 is not listed on IDEAS
  30. Hans Degryse & Muhammad Ather Elahi & Maria Fabiana Penas, 2010. "Cross‐Border Exposures and Financial Contagion," International Review of Finance, International Review of Finance Ltd., vol. 10(2), pages 209-240, June.
  31. Patrick McGuire & Nikola Tarashev, 2007. "International banking with the euro," BIS Quarterly Review, Bank for International Settlements, December.
  32. Fiorella De Fiore & Oreste Tristani, 2010. "Financial conditions and monetary policy," Research Bulletin, European Central Bank, vol. 9, pages 10-12.
  33. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Journal of Financial Stability, Elsevier, vol. 25(C), pages 206-224.
  34. Claudia M. Buch & Katja Neugebauer, 2009. "Diversification of Banks' International Portfolios: Evidence and Policy Lessons," Working Paper / FINESS 2.4, DIW Berlin, German Institute for Economic Research.
  35. Akhter, Selim & Daly, Kevin, 2017. "Contagion risk for Australian banks from global systemically important banks: Evidence from extreme events," Economic Modelling, Elsevier, vol. 63(C), pages 191-205.
  36. International Monetary Fund, 2007. "United Kingdom: Selected Issues," IMF Staff Country Reports 2007/090, International Monetary Fund.
  37. repec:diw:diwfin:diwfin02040 is not listed on IDEAS
  38. Stefano Zedda & Antonella Spinace-Casale, 2021. "Modeling and Simulating Cross Country Banking Contagion Risks," JRFM, MDPI, vol. 14(8), pages 1-16, July.
  39. Michiel Bijlsma & Jeroen Klomp & Sijmen Duineveld, 2010. "Systemic risk in the financial sector; a review and synthesis," CPB Document 210.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  40. Cornelia Holthausen & Huw Pill, 2010. "The forgotten markets: How understanding money markets helps us to understand the financial crisis," Research Bulletin, European Central Bank, vol. 9, pages 2-5.
  41. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
  42. Radev, Deyan & Gropp, Reint, 2014. "The Internal Organization of Banks and the Transmission of Lending Shocks Across Borders," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100349, Verein für Socialpolitik / German Economic Association.
  43. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
  44. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
  45. Engljähringer, Hannah Katharina & Stracca, Livio, 2020. "Firm-specific shocks and contagion: are banks special?," Working Paper Series 2481, European Central Bank.
  46. Barroso, João Barata Ribeiro Blanco & Silva, Thiago Christiano & Souza, Sergio Rubens Stancato de, 2018. "Identifying systemic risk drivers in financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 650-674.
  47. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Bank of Finland Research Discussion Papers 19/2013, Bank of Finland.
  48. Morrison, Alan D. & White, Lucy, 2013. "Reputational contagion and optimal regulatory forbearance," Journal of Financial Economics, Elsevier, vol. 110(3), pages 642-658.
  49. Kox, Henk L.M. & Leeuwen, George van, 2012. "Dynamic market selection in EU business services," MPRA Paper 41016, University Library of Munich, Germany.
  50. Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series 318, Central Bank of Brazil, Research Department.
  51. Kimie Harada & Takatoshi Ito & Shuhei Takahashi, 2010. "Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies," NBER Working Papers 16182, National Bureau of Economic Research, Inc.
  52. Fricke, Daniel, 2010. "Contagion between European and US banks: Evidence from equity prices," Kiel Working Papers 1667, Kiel Institute for the World Economy (IfW Kiel).
  53. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
  54. Schnatz, Bernd, 2006. "Is reversion to PPP in euro exchange rates non-linear?," Working Paper Series 682, European Central Bank.
  55. Ms. Hélène Poirson & Jochen M. Schmittmann, 2013. "Risk Exposures and Financial Spillovers in Tranquil and Crisis Times: Bank-Level Evidence," IMF Working Papers 2013/142, International Monetary Fund.
  56. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
  57. Trenca Ioan & Petria Nicolae & Corovei Emilia, 2015. "Idiosyncratic Risk And Systemic Risk In The European Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 912-919, July.
  58. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2014. "Extremal Dependence and Contagion," CAMA Working Papers 2014-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  59. Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015. "The impact of capital on lending in publicly-traded and privately- held banks in the EU," Faculty of Management Working Paper Series 72015, University of Warsaw, Faculty of Management.
  60. Toivanen, Mervi, 2013. "Contagion in the interbank network : An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  61. Morrison, Alan & White, Lucy, 2013. "Reputational Contagion and Optimal Regulatory Forbearance," CEPR Discussion Papers 9508, C.E.P.R. Discussion Papers.
  62. Kok, Christoffer & Gross, Marco, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
  63. Toivanen, Mervi, 2009. "Financial interlinkages and risk of contagion in the Finnish interbank market," Research Discussion Papers 6/2009, Bank of Finland.
  64. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
  65. Morrison, Alan D. & White, Lucy, 2010. "Reputational contagion and optimal regulatory forbearance," Working Paper Series 1196, European Central Bank.
  66. Katja Neugebauer, 2010. "Schockübertragung und Drittlandeffekte auf internationalen Bankenmärkten," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 79(4), pages 59-74.
  67. Harada, Kimie & Ito, Takatoshi, 2011. "Did mergers help Japanese mega-banks avoid failure? Analysis of the distance to default of banks," Journal of the Japanese and International Economies, Elsevier, vol. 25(1), pages 1-22, March.
  68. Wan†Chien Chiu & Juan Ignacio Peña & Chih†Wei Wang, 2015. "Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects," European Financial Management, European Financial Management Association, vol. 21(5), pages 833-866, November.
  69. Angela Maddaloni & José-Luis Peydró, 2010. "Bank lending standards and the origins and implications of the current banking crisis," Research Bulletin, European Central Bank, vol. 9, pages 6-9.
  70. Harada, Kimie & Ito, Takatoshi & Takahashi, Shuhei, 2013. "Is the Distance to Default a good measure in predicting bank failures? A case study of Japanese major banks," Japan and the World Economy, Elsevier, vol. 27(C), pages 70-82.
  71. Mr. Jorge A Chan-Lau & Ms. Srobona Mitra & Ms. Li L Ong, 2007. "Contagion Risk in the International Banking System and Implications for London As a Global Financial Center," IMF Working Papers 2007/074, International Monetary Fund.
  72. Mr. Nicolas R Blancher & Ms. Srobona Mitra & Mrs. Hanan Morsy & Mr. Akira Otani & Tiago Severo & Ms. Laura Valderrama, 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide," IMF Working Papers 2013/168, International Monetary Fund.
  73. Renata Karkowska, 2015. "The role of investment banking in systemic risk profiles. Evidence from a panel of EU banking sectors," Faculty of Management Working Paper Series 22015, University of Warsaw, Faculty of Management.
  74. Constantin, Andreea & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "Network linkages to predict bank distress," Journal of Financial Stability, Elsevier, vol. 35(C), pages 226-241.
  75. Marek Stefański, 2010. "Banking Sectors in the new European Union Member States," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 4(1), March.
  76. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  77. Weiß, Gregor N.F. & Bostandzic, Denefa & Neumann, Sascha, 2014. "What factors drive systemic risk during international financial crises?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 78-96.
  78. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4534-4555.
  79. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  80. International Monetary Fund, 2007. "Euro Area Policies: Selected Issues," IMF Staff Country Reports 2007/259, International Monetary Fund.
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