both cross-country spill-overs and contagion are important factors for driving financial crises. A parsimonious model with …

related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …

vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current financial …

time-varying cross-correlations between the subindices. As a result, the CISS puts relatively more weight on situations in …

or even a fully-fledged banking crisis. We find that a large current account deficit, a fall in price competitiveness …, strong real growth and high public debt- to-GDP ratio increase the probability that a lending or housing boom would be …