We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts(ADRs). We exploit ADR investors' exposure to potential losses associated with a eurozoneexit, e.g. due to redenomination of underlying stocks into the new devaluated currency, capitalcontrols or trading...

We isolate the direct bank-to-sovereign distress channel within the Eurozone’s sovereignbank-loop by exploiting the global, non-Eurozone related variation in stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone...