Does sovereign risk impact banking risk in the Eurozone? Evidence from the COVID-19 pandemic
[EN] This paper studies the impact of sovereign risk on Eurozone banking risk during a novel crisis such as the COVID-19 pandemic. Spillover effects on volatility are identified using Granger causality tests, a spillover matrix, and BEKK-GARCH models. The results confirm that an increase in Eurozone...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universidad de León |
| Repositorio: | BULERIA. Repositorio Institucional de la Universidad de León |
| OAI Identifier: | oai:buleria.unileon.es:10612/21344 |
| Acceso en línea: | https://www.sciencedirect.com/science/article/pii/S1544612321005808?via%3Dihub https://hdl.handle.net/10612/21344 |
| Access Level: | acceso abierto |
| Palabra clave: | Finanzas Banking risk Sovereign risk COVID-19 VARX models BEKK-GARCH models |
| Sumario: | [EN] This paper studies the impact of sovereign risk on Eurozone banking risk during a novel crisis such as the COVID-19 pandemic. Spillover effects on volatility are identified using Granger causality tests, a spillover matrix, and BEKK-GARCH models. The results confirm that an increase in Eurozone sovereign risk has impacted banking risk in Eurozone and that there is no evidence that sovereign risk in the countries of the Eurozone periphery is being transmitted to banking risk in the core countries during the crisis. These conclusions are very important for risk management and the design and monitoring of Eurozone financial policies. |
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