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cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS … benchmark specification, holdings of peripheral country bonds by banks from other countries do not constitute a statistically or …
Persistent link: https://www.econbiz.de/10011963385
increase in Turkey's default risk. Our theoretical model illustrates that for banks with higher exposure to government … confirm the model's predictions, showing that the exogenous change in sovereign default risk tightens banks' financial … constraints significantly for banks that hold a higher amount of government securities. The resulting tighter bank financial …
Persistent link: https://www.econbiz.de/10013536288
Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this … divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the … determinants of the observed pattern of credit risk co-movements are and whether and during which periods sovereign debt markets …
Persistent link: https://www.econbiz.de/10010486057
This paper aims to quantify the political risk effect and its different economic implications in normal and crisis situations through the proxy analysis of election and the sovereign bond spreads. Our study leads to three main findings. First, in normal economic situations, elections and...
Persistent link: https://www.econbiz.de/10009781196
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system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity …
Persistent link: https://www.econbiz.de/10010226548
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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