| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089522 | Journal of Banking & Finance | 2012 | 25 Pages |
Abstract
⺠We study the relationship between Eurozone sovereign and bank CDS spreads. ⺠We use cointegration analysis, Granger causality and generalized impulse responses. ⺠We focus on the effects of bank bailouts on this linkage. ⺠At the beginning of the crisis bank default risk impacted their host countries' CDS. ⺠After bailouts sovereign CDS spreads become an important determinant of bank CDSs.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Adrian Alter, Yves S. Schüler,