Evolution of financial contagion in the context of the European Debt crisis

Rasskazov Vladislav
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Rasskazov Vladislav: Northumbria University

Вестник Финансового университета, 2016, issue 2 (92), 99-105

Abstract: This paper aims to study changes in the effect of financial contagion in the Eurozone during the European DebtCrisis. The results of the study show that the strength of institutional connections on the interbank level had decreased, while on the sovereign-bank level it had weakened; which could be explained by the change of thenature of the financial contagion with the flow of the crisis. Default risk of an individual bank had become lessdangerous for the financial system; however, the dependence of banks on the sovereign stability had increased. An association of sovereign default risk and changes in the financial contagion varies among clusters, subjectto the sovereign default risk probability. A regression equation of CDS spread was composed for the purpose of analysis of individual regression models’ residuals. Two approaches of analysis were applied in the research: regression and correlation analysis.

Keywords: СИСТЕМНЫЙ РИСК; ФИНАНСОВОЕ ЗАРАЖЕНИЕ; ЕВРОПЕЙСКИЙ ДОЛГОВОЙ КРИЗИС; МОДЕЛЬ CDS; РЕГРЕССИОННЫЙ АНАЛИЗ; КОРРЕЛЯЦИОННЫЙ АНАЛИЗ; SYSTEMIC RISK; FINANCIAL CONTAGION; BANK RISK; EUROPEAN DEBT CRISIS; CDS MODELLING; RESIDUALS ANALYSIS; CORRELATION ANALYSIS (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:scn:031255:16790785

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