This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

The world is still recovering from the most recent global recession associated with the 2008-09 financial crisis and the possibility of another downturn persists as the global economy struggles to regain lost ground. But, what is a global recession? What is a global recovery? What really happens...