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Title:
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Modelling Interbank Relations during the International Financial Crisis
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Author:
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Aslanidis, Nektarios; Savva, Christos S.
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia |
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Resum:
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This paper examines the effects of the current financial crisis on the correlations of four
international banking stocks. We find that in the beginning of the crisis banks generally
show a transition to a higher correlation followed by a dramatic decline towards the end
of 2008. These findings are consistent with both traditional contagion theory and the
more recent network theory of contagion.
JEL classifications: C51; G15
Keywords: Financial Crises; Contagion; Interbank Markets. |
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Publication date:
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2010 |
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Subject (UDC):
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336 - Finances. Banca. Moneda. Borsa |
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Subject(s):
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Mercats financers
Models economètrics
Crisis financeres
Bancs
Institucions financeres |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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ISSN:
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1988 - 0812
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Collection:
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Documents de treball del Departament d'Economia;2010-01
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