The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009
AbstractIn autumn 2008, euro area governments announced comprehensive rescue packages for banks. This induced decreasing bank and increasing government credit spreads. Moreover, the sensitivity of perceived sovereign credit quality to further crisis aggravations increased, and vice versa for banks.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 110 (2011)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/ecolet
Financial crisis Risk transfer Credit default swaps Sovereign debt;
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