We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European...

To make the no-bailout clause credible and enhance the effectiveness of crisis assistance, a consistent institutional and legal framework is needed to ensure that private creditors contribute to crisis resolution. Getting activated as part of ESM crisis assistance, we propose a two-stage...

We examine the impact of sovereign downgrades on European firms for equity markets and credit default swap (CDS) markets during the period 2009 to 2012. We find evidence of spillover effects, where sovereign downgrades lead to negative abnormal stock returns and positive abnormal CDS spread...