Modelling Interbank Relations during the International Financial Crisis

Identificador:  PC:2093

Handle: https://hdl.handle.net/20.500.11797/PC2093

Autors:  Savva, Christos S.; Aslanidis, Nektarios

Resum:
This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.