RT Journal Article
T1 Bank-sovereign risk spillovers in EMU
T2 Bank-sovereign risk spillovers in the Euro Area
A1 Singh, Manish
A1 Gómez-Puig, Marta
A1 Sosvilla Rivero, Simón Javier
AB 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.
AB We investigate cross-sectional connectedness between Euro Area banking and sovereign risk. Average ‘distance-to- default’ 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. 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.
PB Taylor & Francis
SN 1466-4291
YR 2020
FD 2020
LK https://hdl.handle.net/20.500.14352/6148
UL https://hdl.handle.net/20.500.14352/6148
LA eng
NO Ministerio de Economía y Competitividad (MINECO)
NO Instituto de Estudios Fiscales
DS Docta Complutense
RD 4 abr 2025