Singh, Manish KumarGómez-Puig, MartaSosvilla Rivero, Simón2020-05-1920201350-4851https://hdl.handle.net/2445/161317We 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.5 p.application/pdfeng(c) Taylor and Francis, 2020Risc (Economia)Risc de crèditBancsAnàlisi vectorialPaïsos de la Unió EuropeaRiskCredit riskBanksVector analysisEuropean Union countriesinfo:eu-repo/semantics/article7005642020-05-19info:eu-repo/semantics/openAccess