TY  - JOUR
AU  - Singh, Manish 
AU  - Gómez-Puig, Marta
AU  - Sosvilla Rivero, Simón Javier
PY  - 2016
DO  - 10.1016/j.jimonfin.2016.01.003
SN  - 0261-5606
UR  - https://hdl.handle.net/20.500.14352/23624
T2  - Journal of International Money and Finance
AB  - This study attempts to identify and trace inter-linkages between sovereign and banking risk for each main country in the euro area. To this end, we use an indicator of banking sector risk in each country based on the Contingent Claim Analysis...
LA  - eng
M2  - 137
PB  - Elsevier
KW  - Sovereign debt crisis
KW  - Banking crisis
KW  - Distance-to-default
KW  - Granger causality
KW  - Time-varying approach.
TI  - Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries
TY  - journal article
VL  - 63
ER  -