protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

. However, after the announcement of the Outright Monetary Transaction (OMT) program by the European Central Bank, the … consistent cross-sectional relationship between default risk and bond yields is restored for the Eurozone countries only, a …

The recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk … interaction between bank and sovereign default risk by endogenously estimating the timing of structural breaks. The endogenous … characterized with an evident change in the bank-sovereign interaction, and we detect a bi-directional relationship only during the …

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 …

sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis … increasingly drove a wedge between a seemingly resilient Euro-Zone core and its faltering periphery, its first collateral victims … were the private banks of the hardest-hit sovereigns. They were rapidly followed by the rest of the Euro-Zone's banks as a …

swap index: the higher the bank credit risk, the higher the extra premium on fundamentals; 3) after ECB President Draghi …