Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/61329
Title: Sovereigns and banks in the euro area : a tale of two crises
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Singh, Manish Kumar
Keywords: Deute
Bancs
Crisi econòmica, 2008-
Crisis econòmiques
Sistema monetari europeu
Debt
Banks
Global Financial Crisis, 2008-...
Depressions
European Monetary System
Issue Date: 2015
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Abstract: This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year government yield spreads over Germany as a measure of sovereign risk. We apply a dynamic approach to testing for Granger causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary considerably in both directions over time and within the different EMU countries. Significantly, we find that causal linkages tend to strengthen particularly at the time of major financial crises. The empirical evidence suggests the presence of contagion, mainly from banks to sovereigns.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201504.pdf
It is part of: IREA – Working Papers, 2015, IR15/004
URI: http://hdl.handle.net/2445/61329
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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