| DEEV, Oleg. Banking Integration in Europe: a cointegration-based network approach. In Horvátová, E., Kotlebová J. Proceedings of the 8th International Conference on Currency, Banking and International Finance, "The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries". Bratislava: Ekonóm, University of Economics in Bratislava, 2014, s. 56-64. ISBN 978-80-225-4034-6. |
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@inproceedings{1217044,
author = {Deev, Oleg},
address = {Bratislava},
booktitle = {Proceedings of the 8th International Conference on Currency, Banking and International Finance, "The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries"},
editor = {Horvátová, E., Kotlebová J.},
keywords = {banking integration; cointegration; financial networks},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Bratislava},
isbn = {978-80-225-4034-6},
pages = {56-64},
publisher = {Ekonóm, University of Economics in Bratislava},
title = {Banking Integration in Europe: a cointegration-based network approach},
year = {2014}
}
TY - JOUR
ID - 1217044
AU - Deev, Oleg
PY - 2014
TI - Banking Integration in Europe: a cointegration-based network approach
PB - Ekonóm, University of Economics in Bratislava
CY - Bratislava
SN - 9788022540346
KW - banking integration
KW - cointegration
KW - financial networks
N2 - Assuming the general efficiency of asset markets and ability of investors to identify banks' business prospectives and risks, banks' stock prices provide useful information on their economic condition. In this paper, we suggest to use the information on European banks' stock prices to identify the state of European banking market integration. We first identify the long-run relationships in the European banking markets (as perceived by investors) by employing Engle-Granger cointegration analysis. We then construct cointegration-based networks through cointegration coefficient matrix to illustrate the whole range of available information. The bi-directed and weighted cointegration-based network is used to find most influential banks in Europe and characterize the state of market integration over several time periods of market enlargement, global financial crisis and European sovereign debt crisis. We furthermore investigate the influence of particular banks and countries by PageRank algorithm. The discovered cointegration-based networks illustrate banks' exposures to common risks in the European banking market, which in times of crises should be also considered the most stable and predominant channels of contagion.
ER -
DEEV, Oleg. Banking Integration in Europe: a cointegration-based network approach. In Horvátová, E., Kotlebová J. \textit{Proceedings of the 8th International Conference on Currency, Banking and International Finance, ''The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries''}. Bratislava: Ekonóm, University of Economics in Bratislava, 2014, s.~56-64. ISBN~978-80-225-4034-6.
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