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How important was contagion through banks during the European sovereign crisis?
Gonçalves, Andrei S. - 2017
We use days with tail sovereign CDS spread changes of peripheral countries to identify the effects of shocks to the cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS changes have an asymmetric impact in that bank stocks...
Persistent link: https://www.econbiz.de/10011963385
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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
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Systemic risk in the European Union : a network approach to banks' sovereign debt exposures
Westphal, Annika - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 244-279
This paper draws on network theory to investigate European banks' sovereign debt exposures. Banks' holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly connected network core of 15 banks is...
Persistent link: https://www.econbiz.de/10011312216
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Systemic risk and sovereign debt in the Euro area
Radev, Deyan - 2013
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...
Persistent link: https://www.econbiz.de/10010226548
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Beyond spreads : measuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - In: Economics letters 159 (2017), pp. 153-156
Persistent link: https://www.econbiz.de/10011903478
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Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)
Kalbaska, Alesia - 2017
the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …
Persistent link: https://www.econbiz.de/10012965163
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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
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Systemic Risk and Sovereign Debt in the Euro Area
Radev, Deyan - 2012
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...
Persistent link: https://www.econbiz.de/10013107165
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Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos - 2017
We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates measures of credit risk, volatility and liquidity into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly...
Persistent link: https://www.econbiz.de/10012968869
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Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021
In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...
Persistent link: https://www.econbiz.de/10013315399