TY  - JOUR
AU  - Singh, Manish 
AU  - Gómez-Puig, Marta
AU  - Sosvilla Rivero, Simón Javier
PY  - 2020
DO  - 10.1080/13504851.2020.1728225
SN  - 1466-4291
UR  - https://hdl.handle.net/20.500.14352/6148
T2  - Applied Economics Letters
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...
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...
LA  - eng
M2  - 642
PB  - Taylor & Francis
KW  - Yield spreads
KW  - Bank risk
KW  - Spillover
KW  - Vector autoregression.
TI  - Bank-sovereign risk spillovers in EMU
T2  - Bank-sovereign risk spillovers in the Euro Area
TY  - journal article
VL  - 27
ER  -