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Estimating Spillover Risk Among Large EU Banks


  • Li L Ong
  • Martin Cihak


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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    References listed on IDEAS

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    5. Vetlov, Igor & Pisani, Massimiliano & Hlédik, Tibor & Jonsson, Magnus & Kucsera, Henrik, 2011. "Potential output in DSGE models," Working Paper Series 1351, European Central Bank.
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    7. International Monetary Fund, 2010. "Estimating Potential Output with a Multivariate Filter," IMF Working Papers 10/285, International Monetary Fund.
    8. Esther Perez Ruiz, 2016. "Outside the Band; Depreciation and Inflation Dynamics in Chile," IMF Working Papers 16/129, International Monetary Fund.
    9. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
    10. Claudio BorioBy & Piti Disyatat & Mikael Juselius, 2017. "Rethinking potential output: embedding information about the financial cycle," Oxford Economic Papers, Oxford University Press, vol. 69(3), pages 655-677.
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    12. Harold Hotelling, 1931. "The Economics of Exhaustible Resources," Journal of Political Economy, University of Chicago Press, vol. 39, pages 137-137.
    13. Aqib Aslam & Samya Beidas-Strom & Rudolfs Bems & Oya Celasun & Sinem Kılıç Çelik & Zsoka Koczan, 2016. "Trading on Their Terms? Commodity Exporters in the Aftermath of the Commodity Boom," IMF Working Papers 16/27, International Monetary Fund.
    14. Paula De Masi, 1997. "IMF Estimates of Potential Output; Theory and Practice," IMF Working Papers 97/177, International Monetary Fund.
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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 & Stéphanie Marie Stolz & Marina Moretti, 2008. "Stress Testing at the IMF," IMF Working Papers 08/206, International Monetary Fund.

    More about this item


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

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