This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to … major European economies, we find that sovereign and bank CDS spreads are cointegrated variables at the country level. We … the period 2004-2013. Most developed countries (Germany, Sweden) show a clear leading role for bank CDS spreads throughout …

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to … six major European economies, we find that sovereign and bank CDS spreads are cointegrated variables at the country level … information on the default probability of European banks than their corresponding bank CDS spreads. Price discovery measures based …