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Эволюция Эффекта Финансового Заражения В Еврозоне В Период Долгового Кризиса // Evolution Of Financial Contagion In The Context Of The European Debt Crisis

Author

Listed:
  • V. Rasskazov E.

    (Northumbria University)

  • В. Рассказов Е.

    (Университет Нортамбрия)

Abstract

This paper aims to study changes in the effect of financial contagion in the Eurozone during the European DebtCrisis. The results of the study show that the strength of institutional connections on the interbank level had decreased, while on the sovereign-bank level it had weakened; which could be explained by the change of thenature of the financial contagion with the flow of the crisis. Default risk of an individual bank had become lessdangerous for the financial system; however, the dependence of banks on the sovereign stability had increased. An association of sovereign default risk and changes in the financial contagion varies among clusters, subjectto the sovereign default risk probability. A regression equation of CDS spread was composed for the purpose of analysis of individual regression models’ residuals. Two approaches of analysis were applied in the research: regression and correlation analysis. В статье рассматривается изменение эффекта финансового заражения (ситуация, когда в периоды кризисов страны, экономически слабо связанные между собой в стабильные периоды, демонстрируют однонаправленное движение макропоказателей, поскольку кризис в одной из них провоцирует кризис в другой) в Еврозоне в период европейского долгового кризиса. За время кризиса институциональные связи на межбанковском уровне ослабли, а на государственно-банковском уровне несколько окрепли, что характеризует изменение природы финансового заражения. Риск дефолта отдельного банка стал менее опасен для финансовой системы, однако зависимость банков от устойчивости государства возросла. Сила изменений связи между риском государственного дефолта и изменением финансового заражения отличается по кластерам, сформированным по вероятности риска государственного дефолта. Регрессионное уравнение CDS создано специально для целей исследования, а именно получения остатков индивидуальных моделей банков. В работе используются два подхода к анализу финансового заражения, регрессионный и корреляционный анализ.

Suggested Citation

  • V. Rasskazov E. & В. Рассказов Е., 2016. "Эволюция Эффекта Финансового Заражения В Еврозоне В Период Долгового Кризиса // Evolution Of Financial Contagion In The Context Of The European Debt Crisis," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(2), pages 99-105.
    • Handle: RePEc:scn:financ:y:2016:i:2:p:99-105
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    References listed on IDEAS

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