External linkages and contagion risk in Irish banks /

External linkages and contagion risk in Irish banks /

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Bibliographic Details
Author / Creator:Duggar, Elena, author.
Imprint:[Washington, D.C.] : International Monetary Fund, 2007.
Description:1 online resource (38 pages) : illustrations
Language:English
Series:IMF working paper ; WP/07/44.
Subject:
Banks and banking -- Ireland.
Banks and banking -- Ireland -- Econometric models.
Banks and banking -- Europe.
Banks and banking -- Europe -- Econometric models.
Bank failures -- Europe.
Bank failures -- Europe -- Econometric models.
Bank failures -- Ireland.
Bank failures -- Ireland -- Econometric models.
Risk -- Ireland -- Econometric models.
Risk -- Econometric models.
Bank failures.
Bank failures -- Econometric models.
Banks and banking.
Banks and banking -- Econometric models.
Risk -- Econometric models.
Europe.
Ireland.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12496976
Hidden Bibliographic Details
Other authors / contributors:Mitra, Srobona, author.
International Monetary Fund. Monetary and Financial Systems Department.
ISBN:1282540963
9781282540965
Notes:Includes bibliographical references (pages 19-20).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
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. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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
Other form:Print version: Duggar, Elena. External linkages and contagion risk in Irish banks. [Washington, D.C.] : International Monetary Fund, 2007
Table of 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.

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