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The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009

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Cited by:

  1. Ms. Eva Jenkner & Zhongjin Lu, 2014. "Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?," IMF Working Papers 2014/020, International Monetary Fund.
  2. Neyer, Ulrike & Sterzel, André, 2017. "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers 275, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
  3. Eisenkopf, Gerald & Hessami, Zohal & Fischbacher, Urs & Ursprung, Heinrich W., 2015. "Academic performance and single-sex schooling: Evidence from a natural experiment in Switzerland," Journal of Economic Behavior & Organization, Elsevier, vol. 115(C), pages 123-143.
  4. Dufrénot, Gilles & Gente, Karine & Monsia, Frédia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 123-146.
  5. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
  6. Scott E. Page, 2012. "A complexity perspective on institutional design," Politics, Philosophy & Economics, , vol. 11(1), pages 5-25, February.
  7. Jay C. Shambaugh, 2012. "The Euro's Three Crises," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 44(1 (Spring), pages 157-231.
  8. Chiara Angeloni & Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Working Papers 717, Bruegel.
  9. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 88, pages 63-75.
  10. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  11. Oleg Deev & Martin Hodula, 2016. "Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 28(2), pages 232-248, April.
  12. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
  13. Huizinga, Harry & Ioannidou, Vasso & Horváth, Bálint, 2015. "Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios," CEPR Discussion Papers 10661, C.E.P.R. Discussion Papers.
  14. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
  15. Kallestrup, René & Lando, David & Murgoci, Agatha, 2016. "Financial sector linkages and the dynamics of bank and sovereign credit spreads," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 374-393.
  16. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2017. "Sovereign bond market reactions to no-bailout clauses and fiscal rules – The Swiss experience," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 319-343.
  17. Brůha, Jan & Kočenda, Evžen, 2018. "Financial stability in Europe: Banking and sovereign risk," Journal of Financial Stability, Elsevier, vol. 36(C), pages 305-321.
  18. Lorenzo Esposito & Giuseppe Mastromatteo, 2019. "Defaultnomics: Making Sense of the Barro-Ricardo Equivalence in a Financialized World," Economics Working Paper Archive wp_933, Levy Economics Institute.
  19. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
  20. Bedendo, Mascia & Colla, Paolo, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 34-52.
  21. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
  22. Peter C. B. Phillips, 2017. "Detecting Financial Collapse and Ballooning Sovereign Risk," Cowles Foundation Discussion Papers 3010, Cowles Foundation for Research in Economics, Yale University.
  23. Cheng, Jin & Dai, Meixing & Dufourt, Frédéric, 2017. "Banking and sovereign debt crises in a monetary union without central bank intervention," Journal of Mathematical Economics, Elsevier, vol. 68(C), pages 142-151.
  24. Afonso, António & Jalles, João Tovar & Kazemi, Mina, 2020. "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads," International Review of Law and Economics, Elsevier, vol. 63(C).
  25. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
  26. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
  27. Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
  28. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
  29. Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019. "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
  30. Giovanni Covi & Ulrich Eydam, 2020. "End of the sovereign-bank doom loop in the European Union? The Bank Recovery and Resolution Directive," Journal of Evolutionary Economics, Springer, vol. 30(1), pages 5-30, January.
  31. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
  32. Jennie Bai & Shang-Jin Wei, 2017. "Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
  33. Engler, Philipp & Große Steffen, Christoph, 2016. "Sovereign risk, interbank freezes, and aggregate fluctuations," European Economic Review, Elsevier, vol. 87(C), pages 34-61.
  34. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
  35. Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh, 2013. "Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience," CESifo Working Paper Series 4195, CESifo.
  36. Georges Hübner & Robert Joliet, 2013. "Government Debt Denomination Policies Before and After the EMU Advent," Open Economies Review, Springer, vol. 24(2), pages 283-309, April.
  37. Hill, Paula & Bissoondoyal-Bheenick, Emawtee & Faff, Robert, 2018. "New evidence on sovereign to corporate credit rating spill-overs," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 209-225.
  38. De Bruyckere, V. & Gerhardt, M. & Schepens, G., 2012. "Bank/sovereign Risk Spillovers in the European Debt Crisis," Other publications TiSEM 71b16c7d-81a7-4572-afcb-b, Tilburg University, School of Economics and Management.
  39. Chan-Lau, Jorge A. & Liu, Estelle X. & Schmittmann, Jochen M., 2015. "Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis," Journal of Financial Stability, Elsevier, vol. 16(C), pages 164-172.
  40. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance, revised Feb 2015.
  41. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
  42. Tholl, Johannes & Schwarzbach, Christoph & Pittalis, Sandro & von Mettenheim, Hans-Jörg, 2020. "Bank funding and the recent political development in Italy: What about redenomination risk?," International Review of Law and Economics, Elsevier, vol. 64(C).
  43. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  44. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
  45. Marcel Fratzscher & Malte Rieth, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Review of Finance, European Finance Association, vol. 23(4), pages 745-775.
  46. Chamizo, Álvaro & Novales, Alfonso, 2020. "Looking through systemic credit risk: Determinants, stress testing and market value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  47. Lakdawala, Aeimit & Minetti, Raoul & Olivero, María Pía, 2018. "Interbank markets and bank bailout policies amid a sovereign debt crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 131-153.
  48. Julio Galvez & Javier Mencía, 2014. "Distributional Linkages between European Sovereign Bond and Bank Asset Returns," Working Papers wp2014_1407, CEMFI.
  49. Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019. "The bank-sovereign nexus: Evidence from a non-bailout episode," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 181-196.
  50. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "“Sovereigns and banks in the euro area: a tale of two crises”," IREA Working Papers 201504, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
  51. Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
  52. Andrea Cardillo & Andrea Zaghini, 2012. "The recent trends in long-term bank funding," Questioni di Economia e Finanza (Occasional Papers) 137, Bank of Italy, Economic Research and International Relations Area.
  53. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach," MPRA Paper 89998, University Library of Munich, Germany.
  54. Willem Vanlaer & Mattia Picarelli & Wim Marneffe, 2021. "Debt and Private Investment: Does the EU Suffer from a Debt Overhang?," Open Economies Review, Springer, vol. 32(4), pages 789-820, September.
  55. Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
  56. Ashoka Mody & Damiano Sandri, 2012. "The eurozone crisis: how banks and sovereigns came to be joined at the hip [‘A pyrrhic victory? Bank bailouts and sovereign credit risk’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(70), pages 199-230.
  57. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
  58. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: A Network General Equilibrium GVAR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 175-202.
  59. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Journal of Financial Stability, Elsevier, vol. 25(C), pages 206-224.
  60. Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2014. "Sovereign risk premia: The link between fiscal rules and stability culture," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 110-127.
  61. Li, Shanshan & Lu, Liping, 2023. "No-bailout event and local bank-government nexus in China," International Review of Financial Analysis, Elsevier, vol. 89(C).
  62. Gwion Williams & Rasha Alsakka & Owain ap Gwilym, 2013. "The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis," Working Papers 13007, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  63. Iara, Anna & Wolff, Guntram B., 2014. "Rules and risk in the Euro area," European Journal of Political Economy, Elsevier, vol. 34(C), pages 222-236.
  64. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
  65. Alsakka, Rasha & ap Gwilym, Owain, 2013. "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 144-162.
  66. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
  67. Andrea Zaghini, 2014. "Bank Bonds: Size, Systemic Relevance and the Sovereign," International Finance, Wiley Blackwell, vol. 17(2), pages 161-184, June.
  68. Marcos González-Fernández & Carmen González-Velasco, 2018. "Bond Yields, Sovereign Risk and Maturity Structure," Risks, MDPI, vol. 6(4), pages 1-25, September.
  69. Stefan Eichler, 2017. "How Do Political Factors Shape the Bank Risk–Sovereign Risk Nexus in Emerging Markets?," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 451-474, August.
  70. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
  71. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on the activity of European banks," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 99-112.
  72. Bicu, Andreea & Candelon, Bertrand, 2013. "On the importance of indirect banking vulnerabilities in the Eurozone," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5007-5024.
  73. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: A dynamic approach," Working Papers 11-06, Asociación Española de Economía y Finanzas Internacionales.
  74. Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016. "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, vol. 26(C), pages 62-77.
  75. Wei, Shang-Jin & Bai, Jennie, 2012. "When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads," CEPR Discussion Papers 9252, C.E.P.R. Discussion Papers.
  76. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
  77. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Sovereign bond holdings and monetary policy operations in the euro area," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1243-1254.
  78. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
  79. Tagkalakis, Athanasios O., 2014. "Financial stability indicators and public debt developments," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 158-179.
  80. Vetlov, Igor & Attinasi, Maria Grazia & Lalik, Magdalena, 2017. "Fiscal spillovers in the euro area a model-based analysis," Working Paper Series 2040, European Central Bank.
  81. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
  82. filippo gori, 2012. "The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally," IHEID Working Papers 12-2014, Economics Section, The Graduate Institute of International Studies, revised 30 Nov 2014.
  83. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  84. Ricardo Correa & Kuan‐Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2014. "Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 93-121, February.
  85. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
  86. Michiel Bijlsma & Jasper Lukkezen & Kristina Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," CPB Discussion Paper 268.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  87. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 63-75.
  88. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
  89. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
  90. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
  91. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
  92. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  93. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
  94. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
  95. Andreeva, Desislava & Vlassopoulos, Thomas, 2016. "Home bias in bank sovereign bond purchases and the bank-sovereign nexus," Working Paper Series 1977, European Central Bank.
  96. Michiel Bijlsma & Jasper Lukkezen & Kristina Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," CPB Discussion Paper 268, CPB Netherlands Bureau for Economic Policy Analysis.
  97. Radde, Sören & Checherita-Westphal, Cristina & Cui, Wei, 2015. "Government bond liquidity and sovereign-bank interlinkages," SFB 649 Discussion Papers 2015-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  98. Große Steffen, Christoph, 2015. "Uncertainty shocks and non-fundamental debt crises: An ambiguity approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112936, Verein für Socialpolitik / German Economic Association.
  99. Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh, 2013. "Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience," CESifo Working Paper Series 4195, CESifo Group Munich.
  100. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
  101. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers tel-03507099, HAL.
  102. Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "The Credit Default Swap market contagion during recent crises: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 1-46, July.
  103. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
  104. Lidija Lovreta & Joaquín López Pascual, 2020. "Structural breaks in the interaction between bank and sovereign default risk," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 11(4), pages 531-559, December.
  105. Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013. "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3694-3703.
  106. Jamal Bouoiyour & Refk Selmi, 2018. "Brexit and CDS spillovers across UK and Europe," Working Papers hal-01736525, HAL.
  107. M. Bijlsma & J.H.J. Lukkezen & K. Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," Working Papers 14-03, Utrecht School of Economics.
  108. Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
  109. Sören Radde & Cristina Checherita-Westphal & Wei Cui, 2015. "Government Bond Liquidity and Sovereign-Bank Interlinkages," SFB 649 Discussion Papers SFB649DP2015-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  110. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
  111. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
  112. Alberto Dreassi & Stefano Miani & Andrea Paltrinieri & Alex Sclip, 2018. "Bank-Insurance Risk Spillovers: Evidence from Europe," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 72-96, January.
  113. Ureche-Rangau, Loredana & Burietz, Aurore, 2013. "One crisis, two crises…the subprime crisis and the European sovereign debt problems," Economic Modelling, Elsevier, vol. 35(C), pages 35-44.
  114. Gomez-Puig, Marta & Singh, Manish K. & Sosvilla-Rivero, Simon, 2019. "The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 1-26.
  115. Eichler, Stefan, 2015. "How Do Political Factors Shape the Bank Risk-Sovereign Risk Nexus in Emerging Markets?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112877, Verein für Socialpolitik / German Economic Association.
  116. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
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