Modeling interbank relations during the international financial crisis

Christos Savva ()

Economics Bulletin, 2011, vol. 31, issue 1, 916-924

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.

Keywords: Financial Crises; Contagion; Interbank Markets (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2011-03-21
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Citations: View citations in EconPapers (3)

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