Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/161317
Title: Bank-sovereign risk spillovers in EMU
Author: Singh, Manish Kumar
Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Risc (Economia)
Risc de crèdit
Bancs
Anàlisi vectorial
Països de la Unió Europea
Risk
Credit risk
Banks
Vector analysis
European Union countries
Issue Date: 2020
Publisher: Taylor and Francis
Abstract: We investigate cross-sectional connectedness between Euro Area banking and sovereign risk. Average 'distance-to- default' based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk, while 10-year sovereign yield as the measure of sovereign risk. We find evidence of clustering among banks and sovereigns in peripheral and central countries. Except for peripheral countries banks, rest of the clusters are well isolated from each other.
Note: Versió postprint del document publicat a: https://doi.org/10.1080/13504851.2020.1728225
It is part of: Applied Economics Letters, 2020, vol. 27, num. 8, p. 642-646
URI: http://hdl.handle.net/2445/161317
Related resource: https://doi.org/10.1080/13504851.2020.1728225
ISSN: 1350-4851
Appears in Collections:Articles publicats en revistes (Economia)

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