TY  - RPRT
AU  - Gómez-Puig, Marta
AU  - Sosvilla-Rivero, Simón
AU  - Singh, Manish K.
PY  - 2015
SN  - 1696-6376
UR  - https://hdl.handle.net/20.500.14352/41630
AB  - 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...
LA  - eng
A3  - Asociación Española de Economía y Finanzas Internacionales
KW  - Sovereign debt crisis
KW  - Banking crisis
KW  - Granger-causality
KW  - Time-varying approach
KW  - Distance-to-default
KW  - Euro area.
TI  - Sovereigns and banks in the euro area: A tale of two crises
TY  - technical report
ER  -