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2020

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/161317

Bank-sovereign risk spillovers in EMU

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https://doi.org/10.1080/13504851.2020.1728225

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.

Subject

Risc (Economia), Risc de crèdit, Bancs, Anàlisi vectorial, Països de la Unió Europea

Subject (English)

Risk, Credit risk, Banks, Vector analysis, European Union countries

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Articles publicats en revistes (Economia)

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SINGH, Manish Kumar, GÓMEZ-PUIG, Marta and SOSVILLA RIVERO, Simón. Bank-sovereign risk spillovers in EMU. Applied Economics Letters. 2020. Vol. 27, num. 8, pags. 642-646. ISSN 1350-4851. [consulted: 6 of June of 2026]. Available at: https://hdl.handle.net/2445/161317

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