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18-100/IV - Do information contagion and business model similarities explain bank credit risk commonalities?

  • Authors
    Dieter Wang, VU Amsterdam, De Nederlandsche Bank; Iman (I.P.P.) van Lelyveld, VU Amsterdam, De Nederlandsche Bank; Julia (J.) Schaumburg, VU Amsterdam
  • Publication date
    December 22, 2018
  • Keywords
    Information contagion, credit spread puzzle, bank business model similarities, portfolio overlap measure, dynamic network effects model
  • JEL
    G01, G21, C32, C33, C38