Unité mixte de recherche 7235

The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion

Jean-Pierre Allegret, Hélène Raymond, Houda Rharrabti

[en]This paper analyzes the influence of successive crises, including the recent European sovereign debt crisis, on banks’ equity returns for 11 countries. Our data span the period December 14th 2007-March 8th 2013 that encompasses different episodes of economic and financial turmoil since the collapse of the subprime credit market. Our contribution to the literature is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second, we adopt a Smooth Transition Regression(STR) framework that allows for an endogenous definition of crisis periods and captures the changes in parameters associated with shift contagion. We find that contagion from the European sovereign debt crisis to banks’ equity returns has been confined to eurozone banks, whereas U.S. banks’ equity returns were unharmed by its direct impact and may even have benefited from a kind of flight to quality effect. Besides, across banks from the euro area, German financial institutions have not been completely spared by the eurozone debt crisis, though they have been relatively less affected.[/en]

AGENDA

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

Profitability and solvency of French insurance companies in an environment of low interest rates

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Latapy (LiP6, CNRS / Sorbonne Université)

Salle G614B

Résistance — Perturber les Infrastructures en Réseaux

jeudi 15 décembre 2022

Groupe de travail Economie Comportementale

Magali Dumontet

TBA

jeudi 5 janvier 2023

Lunch

Mehdi Aït-Hamlat, Florian Baudoin, Tanguy Bonnet

Nouveaux doctorants

mardi 10 janvier 2023

Développement Durable Environnement et Energie (DDEE)

Antoine Missemer (CNRS, CIRED Paris)

Pour une histoire alternative des rapports économie-environnement : à propos de ‘A History of Ecological Economic Thought’

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