Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …