Kamil Yilmaz, 25 September 2011

The IMF claims that European banks are in need of capital injections; the ECB disagrees. This column looks at the issue from a different angle. It uses daily bank stock price data to calculate a volatility connectedness index as a measure of how shocks to bank share prices are spread to others. As of 7 September, the index reached its historical high, indicating that major European bank stocks are connected in a state of high volatility.

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