Bank-sovereign risk spillovers in the Euro Area
Manish Singh (),
Marta Gómez-Puig () and
Simon Sosvilla-Rivero ()
Applied Economics Letters, 2020, vol. 27, issue 8, 642-646
We investigate cross-sectional connectedness between Euro Area banking and sovereign risk. Average ‘distance-to- default’ based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk, while 10-year sovereign yield as the measure of sovereign risk. We find evidence of clustering among banks and sovereigns in peripheral and central countries. Except for peripheral countries banks, rest of the clusters are well isolated from each other.
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