The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area
AbstractWe investigate the comovement between sovereign and bank credit riskin the Euro area over the period 2008-2010. We construct two synthetic credit risk measures of the European sovereign and banking sectors thatcan be used for macro-prudential supervision. We estimate a Vector error-correction model and we obtain empirical evidence of a cointegration relationship between sovereign and bank credit risk. Moreover, we find that deviations from this equilibrium relationship are adjusted throughthe banking sector. Finally, impulse response functions show that it is possible to distinguish between a permanent sovereign shock and a transitory banking shock.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Istituto di Cultura Bancaria Francesco Parrillo in its journal Rivista Bancaria - Minerva Bancaria.
Volume (Year): (2012)
Issue (Month): 6 (December)
Contact details of provider:
financial stability; sovereign sector credit risk; banking sector credit risk; nth-to-default CDS; portfolio credit risk management;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefano Marzioni).
If references are entirely missing, you can add them using this form.