Measuring Bank Contagion in Europe Using Binary Spatial Regression Models

Raffaella Calabrese (), Johan A. Elkink () and Paolo Giudici
Additional contact information
Johan A. Elkink: University College Dublin

No 96, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank is assuming the supervision of the largest banks in each of the member states. We propose a measure of contagion risk based on the spatial autocorrelation parameter of a binary spatial autoregressive model. Using different specifications of the interbank connectivity matrix and of the determinants of bank failures, we estimate the contagion parameter for banks within the Eurozone, between 1996 and 2012. We provide evidence of high levels of systemic risk due to contagion.

Keywords: Contagion risk; spatial autoregressive models; European banks; binary data. (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-11
New Economics Papers: this item is included in nep-ban, nep-eec and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0096.pdf (application/pdf)

Related works:
Journal Article: Measuring bank contagion in Europe using binary spatial regression models (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:demwp0096

Access Statistics for this paper

More papers in DEM Working Papers Series from University of Pavia, Department of Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alice Albonico ( this e-mail address is bad, please contact ).