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2010•RePEc: Research Papers in EconomicsOpen access

Modelling Interbank Relations during the International Financial Crisis

Nektarios Aslanidis, Christos S. Savva

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Abstract

This paper examines the effects of the current financial crisis on the correlations of four\ninternational banking stocks. We find that in the beginning of the crisis banks generally\nshow a transition to a higher correlation followed by a dramatic decline towards the end\nof 2008. These findings are consistent with both traditional contagion theory and the\nmore recent network theory of contagion.\nJEL classifications: C51; G15\nKeywords: Financial Crises; Contagion; Interbank Markets.

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This paper examines the effects of the current financial crisis on the correlations of four\ninternational banking stocks. We find that in the beginning of the crisis banks generally\nshow a transition to a higher correlation followed by a dramatic decline towards the end\nof 2008. These findings are consistent with both traditional contagion theory and the\nmore recent network theory of contagion.\nJEL classifications: C51; G15\nKeywords: Financial Crises; Contagion; Interbank Markets.

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Available abstract

This paper examines the effects of the current financial crisis on the correlations of four\ninternational banking stocks. We find that in the beginning of the crisis banks generally\nshow a transition to a higher correlation followed by a dramatic decline towards the end\nof 2008. These findings are consistent with both traditional contagion theory and the\nmore recent network theory of contagion.\nJEL classifications: C51; G15\nKeywords: Financial Crises; Contagion; Interbank Markets.

Key concepts: Interbank lending market, Financial contagion, Financial crisis, Financial system, Economics, Contagion effect, Monetary economics, Financial market

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