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Modelling Interbank Relations during the International Financial Crisis
Aslanidis, Nektarios; Savva, Christos S.
Universitat Rovira i Virgili. Departament d'Economia
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.
336 - Finances. Banca. Moneda. Borsa
Mercats financers
Models economètrics
Crisis financeres
Institucions financeres
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Working Paper
1988 - 0812
Documents de treball del Departament d'Economia;2010-01

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