2026-06-07T15:18:02Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/416302025-07-08T00:03:07Zcom_20.500.14352_14col_20.500.14352_17
Docta Complutense
author
Gómez-Puig, Marta
author
Singh, Manish
author
Sosvilla Rivero, Simón Javier
2023-06-19T23:56:05Z
2023-06-19T23:56:05Z
2015
1696-6376
https://hdl.handle.net/20.500.14352/41630
http://www.aeefi.com
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.
eng
Sovereigns and banks in the euro area: A tale of two crises
technical report
URL
https://docta.ucm.es/bitstreams/2f379df1-ce22-4c85-9113-6e3bfea78d12/download
File
MD5
ce2a49e955abcfbbce013827d8812d98
519101
application/pdf
Sovereigns and banks.pdf
URL
https://docta.ucm.es/bitstreams/4cd05b50-972a-4eb0-8beb-ec7c5de13615/download
File
MD5
69a9521f9c8d79d6344ffb46fb83d398
104583
text/plain
defi15-01.pdf.txt