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Flavin, Thomas and Lagoa-Varela, Dolores (2016) Are Banking Shocks Contagious? Evidence from the Eurozone. Working Paper. UNSPECIFIED. (Unpublished)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; |
| 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: | https://mural.maynoothuniversity.ie/id/eprint/7068 |
| 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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