Crossborder financial contagion to Germany: How important are OTC dealers?

Natalia Podlich and Michael Wedow

International Review of Financial Analysis, 2014, vol. 33, issue C, 1-9

Abstract: We examine crossborder contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European financial systems. Assessing contagion for dealer and non-dealer banks suggests that contagion from dealer banks is the most prominent source of contagion to the German financial system. While German non-dealer banks are affected both by European and US dealers, only US dealer banks have a contagion effect to German dealer banks.

Keywords: Systemic risk; CDS spreads; Contagion; OTC dealer (search for similar items in EconPapers)
JEL-codes: G14 G21 G28 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:33:y:2014:i:c:p:1-9

DOI: 10.1016/j.irfa.2013.07.008

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