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http://hdl.handle.net/2445/61329
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DC Field | Value | Language |
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dc.contributor.author | Gómez-Puig, Marta | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.contributor.author | Singh, Manish Kumar | - |
dc.date.accessioned | 2015-01-15T11:08:36Z | - |
dc.date.available | 2015-01-15T11:08:36Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/61329 | - |
dc.description.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. | - |
dc.format.extent | 52 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201504.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2015, IR15/04 | - |
dc.relation.ispartofseries | [WP E-IR15/04] | - |
dc.rights | cc-by-nc-nd, (c) Gómez-Puig et al., 2015 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Deute | - |
dc.subject.classification | Bancs | - |
dc.subject.classification | Crisi econòmica, 2008-2009 | - |
dc.subject.classification | Crisis econòmiques | - |
dc.subject.classification | Sistema monetari europeu | - |
dc.subject.other | Debt | - |
dc.subject.other | Banks | - |
dc.subject.other | Global Financial Crisis, 2008-2009 | - |
dc.subject.other | Depressions | - |
dc.subject.other | European Monetary System | - |
dc.title | Sovereigns and banks in the euro area : a tale of two crises | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2015-01-15T11:08:37Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR15-004_GomezPuig-Sosvilla.pdf | 790.69 kB | Adobe PDF | View/Open |
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