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    Are Banking Shocks Contagious? Evidence from the Eurozone


    Flavin, Thomas and Lagoa-Varela, Dolores (2016) Are Banking Shocks Contagious? Evidence from the Eurozone. Working Paper. Department of Economics, Finance and Accounting, Maynooth University. (Unpublished)

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    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; Maynooth University Department of Economics, Finance and Accounting; Working Paper N268-16;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 7216
    Depositing User: Thomas Flavin
    Date Deposited: 08 Aug 2016 14:10
    Publisher: Department of Economics, Finance and Accounting
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