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Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis : evidence from central Europe

Ters, Kristyna; Urban, Jörg - In: International review of economics & finance : IREF 54 (2018), pp. 123-142

Persistent link: https://www.econbiz.de/10012033352

On the intensity of liquidity spillovers in the Eurozone

Smimou, Kamal; Khallouli, W. - In: International review of financial analysis 48 (2016), pp. 388-405

Persistent link: https://www.econbiz.de/10011624534

Contagion in Eurozone sovereign bond markets? : the good, the bad and the ugly

Cronin, David; Flavin, Thomas J.; Sheenan, Lisa - In: Economics letters 143 (2016), pp. 5-8

Persistent link: https://www.econbiz.de/10011616776

The European sovereign debt crisis : what have we learned?

Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2016

Persistent link: https://www.econbiz.de/10011565485

Causes and hazards of the euro area sovereign debt crisis : pure and fundamentals-based contagion

Gómez Puig, Marta; Sosvilla-Rivero, Simón - In: Economic modelling 56 (2016), pp. 133-147

Persistent link: https://www.econbiz.de/10011646024

Disentangling contagion among sovereign CDS spreads during the European debt crisis

Broto, Carmen; Pérez-Quirós, Gabriel - In: Journal of empirical finance 32 (2015), pp. 165-179

Persistent link: https://www.econbiz.de/10011556813

The European sovereign debt crisis : what have we learned?

Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...

Persistent link: https://www.econbiz.de/10011588156

Bank/sovereign risk spillovers in the European debt crisis

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 …

Persistent link: https://www.econbiz.de/10011590540

Modeling contagion in the Eurozone crisis via dynamical systems

Castellacci, Giuseppe; Choi, Youngna - In: Journal of banking & finance 50 (2015), pp. 400-410

Persistent link: https://www.econbiz.de/10010509514

Measuring sovereign risk contagion in the Eurozone

Suh, Sangwon - In: International review of economics & finance : IREF 35 (2015), pp. 45-65

Persistent link: https://www.econbiz.de/10011333725