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Title: Bank-sovereign risk spillovers in EMU
Author: Singh, Manish Kumar
Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Risc (Economia)
Risc de crèdit
Anàlisi vectorial
Països de la Unió Europea
Credit risk
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:
It is part of: Applied Economics Letters, 2020, vol. 27, num. 8, p. 642-646
Related resource:
ISSN: 1350-4851
Appears in Collections:Articles publicats en revistes (Economia)

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