Estimating Spillover Risk Among Large EU Banks
28 Pages Posted: 3 Dec 2007
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: Suggested Citation
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