TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCI'S FAILURE

Angelos Kanas ()
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Angelos Kanas: Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 03, 289-301

Abstract: We find evidence of "pure" contagion effects in international banking arising from the collapse of BCCI. A Markov regime-switching approach is employed to allow for the uncertainty surrounding the date of BCCI's collapse. The results indicate that there are shortcomings in the supervision of internationally spread banking groups like BCCI, and carry implications for the EU single market programme in financial services.

Keywords: Markov-switching; banking; contagion; banking supervision; JEL classification code G21; JEL classification code G28 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S0219024904002438

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