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Christos S Savva
 
''Modeling interbank relations during the international financial crisis''
( 2011, Vol. 31 No.1 )
 
 
This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion.
 
 
Keywords: Financial Crises, Contagion, Interbank Markets
JEL: C5 - Econometric Modeling: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Sep 21 2010 Manuscript Accepted : Mar 21 2011

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