This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by … contagion by analyzing bank-specific as well as country-specific variables and their interaction. Using the EBA’s disclosure of …

results from the first two approaches do not appear to favor the contagion hypothesis. Nevertheless, the third approach, when …

results from the first two approaches do not appear to favour the contagion hypothesis. Nevertheless, the third approach, when …

Against the backdrop of the contagion literature, the paper analyses the impact of financial and trade linkages on …. Second, the structure of international trade helps to account for the geographic scope of contagion, even after controlling …

contagion hypothesis through the liquidity channel on stock-bond relationships of the US and five European countries before and … effect as a source of contagion for the majority of countries. Nevertheless, we uncover evidence of investor induced … contagion sourced by the portfolio rebalancing effect for correlations involving Spanish and Italian bonds during the debt …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. We define … contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common … factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of contagion by …

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 …