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Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR
7 references·3 citing·47 second hop
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References

  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2010Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System501 cited
  • 2002Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion?254 cited
  • 2001Systemic Risk: A Survey224 cited
  • 2001Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model167 cited
  • 2011Mapping Systemic Risk in the International Banking Network81 cited
  • 2014Measuring Comovements by Regression Quantiles74 cited

Cited by

  • 2016Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries28 cited
  • 2017DESTABILIZING EFFECTS OF BANK OVERLEVERAGING ON REAL ACTIVITY—AN ANALYSIS BASED ON A THRESHOLD MCS-GVAR27 cited
  • 2018Contagion and interdependence in Eurozone bank and sovereign credit markets26 cited

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