De Bruyckere, Valerie; Gerhardt, Maria; Schepens, Glenn; … - 2012
This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … spillovers. We define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is … of contagion by analyzing bank-specific as well as country-specific variables and their interaction. We provide empirical …