Finansal krizler ve Avrupa bankalarının bağlanmışlığı

The literature on financial connectedness has expended significantly since the last financial crisis. While there is a voluminous literature on financial linkages, mostly due to lack of empirical work these studies fail to provide conclusive policy recommendation. Complementary to this literature, my study focuses on all aspects of the linkages among the large banks of the EU member countries. My thesis identifies how financial shocks propagate during crisis times and which banks become main transmitters of these shocks. In empirical analysis, I use Diebold and Yilmaz connectedness measurement to calculate the reciprocal effects of each banks. The data set includes daily stock return volatilities for 45 European banks over the period 1998-2014. The resulting connectedness matrix serves as my main data in full sample and dynamic analysis. Keywords: Connectedness, Eurozone Crisis, European Banks, Diebold and Yilmaz Connectedness Measurement