Beschreibung:
The Credit Suisse crisis in 2023 generated important variations in the stock market, and a lot of discussions about the potential contagion effects with other systemic banks. We use the Extended Joint Connectedness measure based on Diebold and Yilmaz (2008, 2012) approach to study this effect. We find that Credit Suisse’s crisis had contagion effects on other global banks. However, this effect was quickly stopped by the agreement of UBS to takeover Credit Suisse. We also find that connectedness between global banks and Credit Suisse drastically decrease after the crisis