Bank-sovereign risk spillovers in EMU
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 sovere...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2020 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/161317 |
| Acceso en línea: | https://hdl.handle.net/2445/161317 |
| Access Level: | acceso abierto |
| Palabra clave: | Risc (Economia) Risc de crèdit Bancs Anàlisi vectorial Països de la Unió Europea Risk Credit risk Banks Vector analysis European Union countries |
| Sumario: | 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. |
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