Sovereigns and banks in the euro area: A tale of two crises

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 sovereig...

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Detalhes bibliográficos
Autores: Gómez-Puig, Marta, Singh, Manish, Sosvilla Rivero, Simón Javier
Formato: informe técnico
Fecha de publicación:2015
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/41630
Acesso em linha:https://hdl.handle.net/20.500.14352/41630
Access Level:acceso abierto
Palavra-chave:C22
E44
G01
G13
G21
Sovereign debt crisis
Banking crisis
Granger-causality
Time-varying approach
Distance-to-default
Euro area
Bancos y cajas
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
Finanzas
Integración económica
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
5309.02 Integración Económica
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oai_identifier_str oai:docta.ucm.es:20.500.14352/41630
network_acronym_str ES
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repository_id_str
spelling Sovereigns and banks in the euro area: A tale of two crisesGómez-Puig, MartaSingh, ManishSosvilla Rivero, Simón JavierC22E44G01G13G21Sovereign debt crisisBanking crisisGranger-causalityTime-varying approachDistance-to-defaultEuro areaBancos y cajasCrisis económicasEconometría (Economía)Economía internacionalEconomía públicaFinanzasIntegración económica5307.06 Fluctuaciones Económicas5302 Econometría5310 Economía Internacional5309.02 Integración EconómicaThis 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.Asociación Española de Economía y Finanzas InternacionalesUniversidad Complutense de Madrid20152015-01-0120152015-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/41630reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/416302026-06-02T12:44:21Z
dc.title.none.fl_str_mv Sovereigns and banks in the euro area: A tale of two crises
title Sovereigns and banks in the euro area: A tale of two crises
spellingShingle Sovereigns and banks in the euro area: A tale of two crises
Gómez-Puig, Marta
C22
E44
G01
G13
G21
Sovereign debt crisis
Banking crisis
Granger-causality
Time-varying approach
Distance-to-default
Euro area
Bancos y cajas
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
Finanzas
Integración económica
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
5309.02 Integración Económica
title_short Sovereigns and banks in the euro area: A tale of two crises
title_full Sovereigns and banks in the euro area: A tale of two crises
title_fullStr Sovereigns and banks in the euro area: A tale of two crises
title_full_unstemmed Sovereigns and banks in the euro area: A tale of two crises
title_sort Sovereigns and banks in the euro area: A tale of two crises
dc.creator.none.fl_str_mv Gómez-Puig, Marta
Singh, Manish
Sosvilla Rivero, Simón Javier
author Gómez-Puig, Marta
author_facet Gómez-Puig, Marta
Singh, Manish
Sosvilla Rivero, Simón Javier
author_role author
author2 Singh, Manish
Sosvilla Rivero, Simón Javier
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C22
E44
G01
G13
G21
Sovereign debt crisis
Banking crisis
Granger-causality
Time-varying approach
Distance-to-default
Euro area
Bancos y cajas
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
Finanzas
Integración económica
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
5309.02 Integración Económica
topic C22
E44
G01
G13
G21
Sovereign debt crisis
Banking crisis
Granger-causality
Time-varying approach
Distance-to-default
Euro area
Bancos y cajas
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
Finanzas
Integración económica
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
5309.02 Integración Económica
description 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.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01
2015
2015-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/41630
url https://hdl.handle.net/20.500.14352/41630
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Asociación Española de Economía y Finanzas Internacionales
publisher.none.fl_str_mv Asociación Española de Economía y Finanzas Internacionales
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869406144451051520
score 15,812455

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