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Título:
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Sovereigns and banks in the euro area: A tale of two crises
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Autores:
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Gómez-Puig, Marta ;
Sosvilla-Rivero, Simón ;
Singh, Manish K.
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Tipo de documento:
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texto impreso
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Editorial:
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Asociación Española de Economía y Finanzas Internacionales, 2015-01
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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/openAccess
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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: Crisis económicas
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Economía internacional
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Materia = Ciencias Sociales: Economía: Economía pública
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Materia = Ciencias Sociales: Economía: Finanzas
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Materia = Ciencias Sociales: Economía: Integración económica
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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 sovereign risk. We apply a dynamic approach to testing for Granger causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary considerably in both directions over time and within the different EMU countries. Significantly, we find that causal linkages tend to strengthen particularly at the time of major financial crises. The empirical evidence suggests the presence of contagion, mainly from banks to sovereigns.
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En línea:
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https://eprints.ucm.es/id/eprint/30626/1/defi15-01.pdf
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