ARNOLD, I.J.M.; LEMMEN, J.J.G. - In: Review of Business and Economics XLVI (2001) 1, pp. 23-38
This paper examines the vulnerability of banks in EMU countries to shocks to default risk premiums on public debt. This vulnerability depends on (1) the total amount of public debt in bank portfolios, (2) the diversifiability of the default risk on public debt of EMU members, and (3) the degree...