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IMF Staff Papers

, Volume 56, Issue 4, pp 758–786 | Cite as

External Linkages and Contagion Risk in Irish Banks

  • Elena Duggar
  • Srobona Mitra
Article

Abstract

Increasing financial integration makes the assessment of cross-country linkages crucial for effective financial surveillance. This paper estimates contagion risk between large Irish banks and European and U.S. banks during 1994–2005, using distance-to-default measures and the methodology of extreme value theory. Employing an ordered logit model, and controlling for Ireland-specific and global shocks, we find evidence of significant contagion risk coming from the United Kingdom, the United States, and the Netherlands toward Ireland. We also find that patterns of contagion to Irish banks have shifted over time, coming from the United Kingdom in the pre-euro period and from the United States in the post-2001 period.

JEL Classifications

C51 G21 

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Copyright information

© International Monetary Fund 2009

Authors and Affiliations

  • Elena Duggar
  • Srobona Mitra

There are no affiliations available

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