Modelling Interbank Relations during the International Financial Crisis

Nektarios Aslanidis and Christos S. Savva

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: 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.

Keywords: Mercats financers; Models economètrics; Crisis financeres; Bancs; Institucions financeres; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/148475

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