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