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Estimating Spillover Risk Among Large EU Banks

Author

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  • Li L Ong
  • Martin Cihak

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.

Suggested Citation

  • Li L Ong & Martin Cihak, 2007. "Estimating Spillover Risk Among Large EU Banks," IMF Working Papers 07/267, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:07/267
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=21459
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    Cited by:

    1. Martin Cihak & 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 & St├ęphanie Marie Stolz & Marina Moretti, 2008. "Stress Testing at the IMF," IMF Working Papers 08/206, International Monetary Fund.

    More about this item

    Keywords

    Banking systems; European Union; Financial stability; Spillovers; contagion; large banks; banking; stock market; bond; government bond;

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