 The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?Jean-Pierre Allegret, Helene Raymond and Houda Rharrabti European Research Studies Journal, 2016, vol. XIX, issue 1, 129-148 Abstract: This paper analyzes the influence of successive crises, including the recent European sovereign debt crisis, on banks’ equity returns from 11 countries. Our data span the period December 14th 2007-March 8th 2013 that encompasses different episodes of economic and financial turmoil since the collapse of the subprime credit market. Our contribution to the literature is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second, we adopt a Smooth Transition Regression (STR) framework that allows for an endogenous definition of crisis periods and captures the changes in parameters associated with shift contagion. We find that contagion from the European sovereign debt crisis to banks’ equity returns has been confined to European banks, as U.S. banks’ equity returns were unharmed by its direct impact and may even have benefited from a kind of flight to quality effect. Besides, across banks from the euro area, German financial institutions have not been completely spared by the Eurozone debt crisis, though they have been relatively less affected. Keywords: Smooth Transition Regression model; European sovereign debt crisis; Banks’ equity returns; Contagion; Interdependence. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:xix:y:2016:i:1:p:129-148 Access Statistics for this article More articles in European Research Studies Journal from European Research Studies Journal |
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