Flavin, Thomas and Lagoa-Varela, Dolores
(2016)
Are Banking Shocks Contagious? Evidence from the Eurozone.
Working Paper.
UNSPECIFIED.
(Unpublished)
Abstract
We test for contagion between banking stocks – global and domestic – and the domestic nonfinancial
sector for eleven Eurozone countries. Using a Markov-switching Factor augmented
VAR (MS-FAVAR) model, we assess changes to the transmission mechanism of shocks as
we move from ‘normal’ market conditions to a high-volatility, ‘crisis’ regime. Results
confirm the role of contagion in propagating shocks between the global and domestic banking
sectors but show that the non-financial sector suffered little contagion. In general, the nonfinancial
sectors appear to ‘de-couple’ from the global and domestic banking sectors.
| Item Type: |
Monograph
(Working Paper)
|
| Keywords: |
Contagion; Shock transmission; Financial market crises; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
7068 |
| Depositing User: |
Ms Sandra Doherty
|
| Date Deposited: |
05 Apr 2016 15:29 |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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