This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal …. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify …