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https://hdl.handle.net/2445/161317| Title: | Bank-sovereign risk spillovers in EMU |
| Author: | Singh, Manish Kumar Gómez-Puig, Marta Sosvilla Rivero, Simón |
| 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: | https://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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| File | Description | Size | Format | |
|---|---|---|---|---|
| 700564.pdf | 410.52 kB | Adobe PDF | View/Open |
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