that differences in bank funding costs help explain the varying appetite of banks for relatively high-yielding (and hence … match the return on their euro government bond portfolio with their own funding costs. In addition, prospects for a …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

expansion of local bank reserves) by issuing safe assets in domestic currency to domestic investors. Thus, calm periods, marked …

banking sectors to domestic government debt, thus strengthening or weakening the sovereign-bank nexus. To do so, we construct … banks' exposure to domestic sovereign bonds in the periphery countries and thus deepens the sovereign-bank nexus. By … contrast, banks in the core countries expand their loan portfolios, rather than adjusting their domestic sovereign bond …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …, the rescue of Bear Stearns in March 2008 seems to mark a change in market perceptions of sovereign bond risk. The …

estimated New Keynesian model with a bank. A key dimension of policy in the crisis was massive government support for banks … bank asset losses, of government support for banks, and other fiscal stimulus measures, in the EA. Our results suggest that …

particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond … holdings in response to non-standard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e. the …