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Título:
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Bank-sovereign risk spillovers in EMU
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Autores:
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Singh, Manish K. ;
Gómez-Puig, Marta ;
Sosvilla-Rivero, Simón
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Tipo de documento:
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texto impreso
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Editorial:
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Taylor & Francis, 2020
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/embargoedAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Bancos y cajas
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Finanzas
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Tipo = Artículo
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Resumen:
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This paper investigates the cross-sectional spillovers between banking and sovereign risk in the European Economic and Monetary Union (EMU) countries. Average ‘distance-todefault’ based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk, while 10-year sovereign yield as the measure of sovereign risk. Using spillover measure proposed by Diebold and Yilmaz (2014), we find evidence of clustering among banks and sovereigns in peripheral and central countries. Except for peripheral countries banks, rest of the clusters are well isolated from each other.
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En línea:
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https://eprints.ucm.es/id/eprint/59945/1/Bank-sovereign-Singh.pdf
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