Cross-border bank contagion in Europe

This European Central Bank Working Paper, published 27 July, analyses cross-border contagion in a sample of European banks from January 1994 to January 2003.

The authors use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day ("coexceedances") as a function of variables measuring common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily

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