This paper measures the connectedness in European Economic and Monetary Union (EMU) sovereign and bank CDS between … analysis to evaluate the net directional connectedness for each country and bank. Finally, we interpret the policy conclusions … Draghi's 'whatever it takes' speech. Bank risk played a role in enhancing sovereign risk. However, the systemic impact of …

characteristics other than credit ratings, macroeconomic factors and bank characteristics are important determinants of spreads, and …

. However, after the announcement of the Outright Monetary Transaction (OMT) program by the European Central Bank, the …

central banks contribute to sovereign creditworthiness. Our analysis confirms that an increase in central bank gold reserves …-specific crisis episodes, the role of central bank gold becomes even more important. In robustness tests, we account for potential … endogeneity of central bank gold reserves using a Generalized Method of Moments (GMM) approach. The findings highlight the …

member states. Measuring each bank's precise exposure to every sovereign issuer became a key issue for credit analysis in the …

We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy … government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an … framework based on detailed actual bank balance sheets and test the model on 35 large EU banking groups, across 7 European …