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been interpreted as indicative evidence of moral suasion. By using a novel bank-level dataset covering the entire timeline … of the eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt from foreign to … key role in the recent fragmentation across eurozone debt markets …
Persistent link: https://www.econbiz.de/10012917891
European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis …, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset … covering the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign …
Persistent link: https://www.econbiz.de/10012123037
have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering … the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt …
Persistent link: https://www.econbiz.de/10012893375
have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering … the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign debt …
Persistent link: https://www.econbiz.de/10012935285
European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis …, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset … covering the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign …
Persistent link: https://www.econbiz.de/10012859050
This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year government yield spreads over Germany as a measure of...
Persistent link: https://www.econbiz.de/10013030578
; Eurozone ; Maastricht Treaty ; European Central Bank ; Euro ; Fiscal union … quasi-fiscal rescue operations can undermine this consensus and lead to a disintegration of the Eurozone. There are also …
Persistent link: https://www.econbiz.de/10009572988
quasi-fiscal rescue operations can undermine this consensus and lead to a disintegration of the Eurozone. There are also …
Persistent link: https://www.econbiz.de/10013102556
ECB is missing a federal treasury partner. Therefore, establishing the vital treasury-central bank axis that stands at the …
Persistent link: https://www.econbiz.de/10011894027
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874