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The Resource External linkages and contagion risk in Irish banks, prepared by Elena Duggar and Srobona Mitra

External linkages and contagion risk in Irish banks, prepared by Elena Duggar and Srobona Mitra

Label
External linkages and contagion risk in Irish banks
Title
External linkages and contagion risk in Irish banks
Statement of responsibility
prepared by Elena Duggar and Srobona Mitra
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and in periods of large shocks or extreme events-using an existing methodology with distance to default (DD) data constructed from the banks' equity prices. The data covers daily observations from January 1994 to November 2005. We first construct rolling correlations between DDs of Irish banks and those of banks from other European countries and the U.S. to analyze trends in cross-country interdependencies. We then use a multinomial logit model to estimate the number of banks in Ireland that experience a large shock on the same day as banks in other countries ("coexceedances"), controlling for Ireland-specific and global factors. We find evidence of increasing cross-border interdependencies over time; differing interlinkage patterns in the pre-Euro, post-Euro, and the post-September 11th periods; and significant cross-border contagion risk from the United Kingdom, the United States, and the Netherlands
Member of
Action
digitized
Cataloging source
OCLCE
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Duggar, Elena
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 NO.07/44 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
  • statistics
http://library.link/vocab/relatedWorkOrContributorName
  • Mitra, Srobona
  • International Monetary Fund
http://library.link/vocab/subjectName
  • Banks and banking
  • Banks and banking
  • Banks and banking
  • Banks and banking
  • Bank failures
  • Bank failures
  • Bank failures
  • Bank failures
  • Risk
  • Risque
  • Banques
  • Bank failures
  • Bank failures
  • Banks and banking
  • Banks and banking
  • Risk
  • Europe
  • Ireland
Label
External linkages and contagion risk in Irish banks, prepared by Elena Duggar and Srobona Mitra
Instantiates
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 19-20)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
I. Introduction; Boxes; 1. Sources of Contagion-A Literature Survey; II. Some Evidence of External Linkages of the Irish Banking Sector; III. Trends in Interdependencies Using Distance to Default Indicators; 2. The Distance to Default Measure and Data Issues; IV. Econometric Analysis of Contagion Risk Using Coexceedances; A. Methodology and Data; B. Econometric Model Results; V. Summary and Conclusions; References; Figures; 1. International Financial Claims and Liabilities of BIS Reporting Banks Resident in Ireland
Control code
647338389
Dimensions
unknown
Extent
1 online resource (38 pages)
Form of item
online
Isbn
9781282540965
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)647338389
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Label
External linkages and contagion risk in Irish banks, prepared by Elena Duggar and Srobona Mitra
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 19-20)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
I. Introduction; Boxes; 1. Sources of Contagion-A Literature Survey; II. Some Evidence of External Linkages of the Irish Banking Sector; III. Trends in Interdependencies Using Distance to Default Indicators; 2. The Distance to Default Measure and Data Issues; IV. Econometric Analysis of Contagion Risk Using Coexceedances; A. Methodology and Data; B. Econometric Model Results; V. Summary and Conclusions; References; Figures; 1. International Financial Claims and Liabilities of BIS Reporting Banks Resident in Ireland
Control code
647338389
Dimensions
unknown
Extent
1 online resource (38 pages)
Form of item
online
Isbn
9781282540965
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)647338389
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

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