This study attempts to identify and trace inter-linkages between sovereign and banking risk for each main country in the euro area. To this end, we use an indicator of banking sector risk in each country based on the Contingent Claim Analysis literature, and 10-year government yield spreads over Germany as a measure of sovereign risk. We apply a dynamic approach to test for Granger causality between the two measures of risk in each country, allowing us to check for episodes of significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of causality intensification vary considerably in both directions over time and across the different EMU countries. The directionality suggests the presence of c...
In this discussion OLS regressions are used to study the factors that influence sovereign yield spre...
Our research aims to analyze the possible existence of Granger-causal relationships in the behavior ...
This paper measures the connectedness in EMU sovereign market volatility between April 1999 and Janu...
This study attempts to identify and trace inter-linkages between sovereign and banking risk for each...
This study attempts to identify and trace inter-linkages between sovereign and banking risk for each...
This study attempts to identify and trace inter-linkages between sovereign and banking risk in the e...
This study attempts to identify and trace inter-linkages between sovereign and banking risk in the e...
This thesis consists of four self-contained but related papers trying to uncover different aspects o...
Whilst banks are exposed to sovereign risk, sovereigns are exposed to bank risk. This W...
New evidence is presented on the nexus between the sovereign and banking sector risk. Applying the c...
We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. B...
Given the structural differences in banking sector and financial regulation at country level in Euro...
We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro ...
respect to the German bund. Using panel data techniques, we examine the role of a wide set of potent...
Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in...
In this discussion OLS regressions are used to study the factors that influence sovereign yield spre...
Our research aims to analyze the possible existence of Granger-causal relationships in the behavior ...
This paper measures the connectedness in EMU sovereign market volatility between April 1999 and Janu...
This study attempts to identify and trace inter-linkages between sovereign and banking risk for each...
This study attempts to identify and trace inter-linkages between sovereign and banking risk for each...
This study attempts to identify and trace inter-linkages between sovereign and banking risk in the e...
This study attempts to identify and trace inter-linkages between sovereign and banking risk in the e...
This thesis consists of four self-contained but related papers trying to uncover different aspects o...
Whilst banks are exposed to sovereign risk, sovereigns are exposed to bank risk. This W...
New evidence is presented on the nexus between the sovereign and banking sector risk. Applying the c...
We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. B...
Given the structural differences in banking sector and financial regulation at country level in Euro...
We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro ...
respect to the German bund. Using panel data techniques, we examine the role of a wide set of potent...
Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in...
In this discussion OLS regressions are used to study the factors that influence sovereign yield spre...
Our research aims to analyze the possible existence of Granger-causal relationships in the behavior ...
This paper measures the connectedness in EMU sovereign market volatility between April 1999 and Janu...