کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968610 | 931634 | 2012 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Sovereign debt exposures and banking risks in the current EU financial crisis
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Sovereign debt exposures and banking risks in the current EU financial crisis Sovereign debt exposures and banking risks in the current EU financial crisis](/preview/png/968610.png)
چکیده انگلیسی
This paper explores the relationship between sovereign risk and banking risk during the European sovereign debt crisis in May 2010. We link banks’ stock returns and CDS rates to sovereign CDS rates, to examine the spillover of sovereign risk to the banking system in the EU. More specifically, we use sovereign debt exposures from the EU's July 2010 stress tests to investigate whether heavily exposed banks were hit harder during the May 2010 crisis. The results are mixed. Banks exposed to distressed sovereign debt respond more strongly to changes in sovereign CDS rates. On closer examination, however, this result appears to be driven by banks which are located in countries experiencing sovereign debt problems.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Policy Modeling - Volume 34, Issue 6, November–December 2012, Pages 906–920
Journal: Journal of Policy Modeling - Volume 34, Issue 6, November–December 2012, Pages 906–920
نویسندگان
Ivo J.M. Arnold,