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 (Unpublished)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
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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