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Testing For "Pure" Contagion Effects In International Banking: The Case Of Bcci'S Failure

Author

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  • ANGELOS KANAS

    (Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece)

Abstract

We find evidence of "pure" contagion effects in international banking arising from the collapse of BCCI. A Markov regime-switching approach is employed to allow for the uncertainty surrounding the date of BCCI's collapse. The results indicate that there are shortcomings in the supervision of internationally spread banking groups like BCCI, and carry implications for the EU single market programme in financial services.

Suggested Citation

  • Angelos Kanas, 2004. "Testing For "Pure" Contagion Effects In International Banking: The Case Of Bcci'S Failure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 289-301.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002438
    DOI: 10.1142/S0219024904002438
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    Keywords

    Markov-switching; banking; contagion; banking supervision; JEL classification code G21; JEL classification code G28;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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