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The contagion of the Greek debt crisis on the EMU sovereign bond markets : a Garch-DCC approach

Kchaou, Oussama; Bellalah, Makram - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 100-120

Persistent link: https://www.econbiz.de/10012176746

Measuring sovereign contagion in Europe

Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - In: Journal of financial stability 34 (2018), pp. 150-181

Persistent link: https://www.econbiz.de/10012156803

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Eurozone sovereign contagion : evidence from the CDS market ; 2005 - 2010

Kalbaska, A.; Gątkowski, M. - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 657-673

Persistent link: https://www.econbiz.de/10009697968

Crises beyond belief : findings on contagion, the role of beliefs, and the Eurozone debt crisis from a borrower-lender game

Welburn, Jonathan William - In: Computational economics 56 (2020) 2, pp. 263-317

Persistent link: https://www.econbiz.de/10012272031

The single supervision mechanism and contagion between bank and sovereign risk

Sáiz, María Cantero; Sanfilippo Azofra, Sergio; Olmo, … - In: Journal of regulatory economics 55 (2019) 1, pp. 67-106

Persistent link: https://www.econbiz.de/10012134154

Sovereign risk and bank risk-taking

Ari, Anil - 2015

Persistent link: https://www.econbiz.de/10011293364

Sovereign and Bank Contagion in the Eurozone : A Multi-Scale Approach using Wavelet-Network Analysis

Bales, Stephan - 2022

This study establishes time-frequency networks of sovereign and bank contagion in the eurozone over the period 2009 …

Persistent link: https://www.econbiz.de/10013292566

The state dependent impact of bank exposure on sovereign risk

Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016

The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...

Persistent link: https://www.econbiz.de/10011436025

Disentangling contagion among sovereign cds spreads during the european debt crisis

Broto, Carmen; Pérez-Quirós, Gabriel - 2013

Persistent link: https://www.econbiz.de/10011770372