This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

special issue of the Czech Journal of Economics and Finance cover selected aspects of the crisis, including the contagion from … advanced economies to emerging markets, the potential for contagion among European emerging markets, the differentiated impact … of the crisis on European economies, and the negative spillovers between market liquidity and banking sector liquidity …

brought about by financial interlinkages. This article focuses on such interlinkages within Europe and potential contagion … growth before the turmoil; analyzes potential channels of contagion through financial linkages; and assesses the magnitude of … article provides indices of exposure to regional contagion that could help identify the likely pressure points and capture …

This paper provides a survey on recent developments in the European banking industry. Traditional banking activities …

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … European banking business have become more similar and that the systemic risk potential has increased. …

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

contagion, flight to liquidity and issuance rationing can occur in equilibrium during what we call global anxious times. …

find that countries with large, open banking sectors and trade deficits tend to transmit growth more strongly than other …