Estimating Spillover Risk Among Large EU Banks

28 Pages Posted: 3 Dec 2007

See all articles by Li Ong

Li Ong

International Monetary Fund (IMF)

Martin Čihák

International Monetary Fund (IMF)

Date Written: November 2007

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.

Keywords: Financial stability, European Union, Banking systems

Suggested Citation

Ong, Li and Cihak, Martin, Estimating Spillover Risk Among Large EU Banks (November 2007). IMF Working Paper No. 07/267. Available at SSRN: https://ssrn.com/abstract=1042283

Li Ong

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Martin Cihak (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street N.W.
Washington, DC 20431
United States

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