126
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Development and determinants of systemic risk in European banking – an empirical note

&
Pages 431-438 | Published online: 04 Feb 2009

References

  • Allen , F. and Gale , D. 2000 . Financial contagion . Journal of Political Economy , 108 : 1 – 33 .
  • Bernanke , B. and Gertler , M. 1990 . Financial fragility and economic performance . The Quarterly Journal of Economics , 105 : 87 – 114 .
  • Bollerslev , T. 1990 . Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach . Review of Economics and Statistics , 72 : 498 – 505 .
  • De Bandt , O. and Hartmann , P. ( 2000 ) Systemic risk, a survey, European Central Bank Working Paper Series, Working Paper No. 35
  • Degryse , H. and Nguyen , G. 2007 . International Journal of Central Banking 2007 , 3 : 123 – 71 .
  • Diamond , D. W. and Dybvig , P. H. 1983 . Bank runs, deposit insurance and liquidity . Journal of Political Economy , 91 : 401 – 19 .
  • Engle , R. F. 2002 . Dynamic conditional correlation, a simple class of multivariate GARCH models . Journal of Business and Economic Statistics , 20 : 339 – 50 .
  • Freixas , X. , Parigi , B. M. and Rochet , J.-C. 2000 . Systemic risk, interbank relations, and liquidity provisions by the Central Bank . Journal of Money, Credit, and Banking , 32 : 611 – 38 .
  • Garber , P. M. and Grilli , V. U. 1989 . Bank runs in open economies and the international transmission of panics . Journal of International Economics , 27 : 165 – 75 .
  • Hafner , C. M. , Van Dijk , D. and Franses , P. H. 2006 . “ Semi-parametric modelling of correlation dynamics ” . In Advances in Econometrics , Edited by: Fomby and Hill . Vol. 20(A) , 59 – 103 . Amsterdam : Elsevier .
  • Kaminsky , G. L. and Reinhart , C. M. 2000 . On crises, contagion, and confusion . Journal of International Economics , 51 : 145 – 68 .
  • Kwast , M. L. and de Nicolo , G. 2002 . Systemic risk and financial consolidation: are they related? . Journal of Banking and Finance , 26 : 861 – 80 .
  • Paroush , J. 1988 . The domino effect and the supervision of the banking system . The Journal of Finance , 43 : 1207 – 1218 .
  • Rochet , J.-C. and Tirole , J. 1996 . Interbank lending and systemic risk . Journal of Money, Credit and Banking , 28 : 733 – 62 .
  • Scharfstein , D.-S. and Stein , J. C. 1990 . Herd behaviour and investment . American Economic Review , 80 : 465 – 79 .
  • Schröder , M. and Schüler , M. ( 2003 ) Systemic risk in European banking: evidence from bivariate GARCH models, ZEW Discussion Papers, July 2003

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.