IS THE ROMANIAN BANKING SYSTEM INTEGRATED INTO THE EUROPEAN ONE? A MONEY MARKET PERSPECTIVE
Revista Economica, 2012, vol. Supplement, issue 4, 401-406
The study aims to analyze contagion risk from euro area money market to the Romanian one since the onset of global financial crisis (October 2008). Most banks in Romania are owned by financial institutions located into euro area, resulting in a strong connection between the two banking systems. The empirical results reveal linkages between the euro area money market and the Romanian one, but also partial decoupling during the sovereign debt crisis within euro area, when volatility jumped on euro area money market.
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