Work detail

Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries

Author: Mgr. Lina Baronaite
Year: 2014 - summer
Leaders:
Consultants:
Work type: Masters
MEF
Language: English
Pages: 97
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/138213/
Abstract: The objective of the thesis is to estimate the degree of cross{border
contagion among the Nordic banking sectors. It analyzes a sample of
sixteen largest listed Nordic banks from January 2004 to January 2014.
Using a multinomial logit model we test whether there is any degree
of contagion among the four banking sectors, whether it is more pro-
nounced for larger banks and whether the recent nancial crisis has
exacerbated it. Our results are in line with similar studies conducted
for other countries. In particular, we nd that a shock in one bank-
ing sector is positively associated with an increase in shocks in another
banking sector. Second, these shocks are larger and more signi cant
for larger and more active international banks. Finally, the e ect of
the recent nancial crisis has ambiguous e ects on the cross{sectoral
banking contagion. It appears that contagious links between some sec-
tors weakened (Sweden and Denmark, Sweden and Finland). Other
economies (Sweden and Norway) on the contrary became more depen-
dent on each other. The results are robust to a wide variety of changes
in speci cations.

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