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 …

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 …

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a …. 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 specification. …

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 via spill-over effects and the common creditor channel. Based on a synthetic measure of these risks, we show that the …

contagion via spill-over effects and the common creditor channel. Based on a synthetic measure of these risks, we show that the …

special issue of the Czech Journal of Economics and Finance cover selected aspects of the crisis, including the contagion from … advanced economies to emerging markets, the potential for contagion among European emerging markets, the differentiated impact …

brought about by financial interlinkages. This article focuses on such interlinkages within Europe and potential contagion … growth before the turmoil; analyzes potential channels of contagion through financial linkages; and assesses the magnitude of … article provides indices of exposure to regional contagion that could help identify the likely pressure points and capture …

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 …