Economics at your fingertips  

Contagion and interdependence in Eurozone bank and sovereign credit markets

Theodoros Bratis (), Nikiforos Laopodis () and Georgios Kouretas ()

International Journal of Finance & Economics, 2018, vol. 23, issue 4, 655-674

Abstract: This paper focuses on the nature of co‐movement of credit risk measured by credit default swap spreads in both banking and sovereign sectors within EMU. We test for contagion and/or interdependence across countries and across banks under the prism of the Eurozone's Financial Stability Pact. Our main results on financial stability show mostly interdependence within EMU, as expected. In contrast, contagion has only been found in some cases, the determinants of which are attributed to political risk and market risk factors.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2022-09-27
Handle: RePEc:wly:ijfiec:v:23:y:2018:i:4:p:655-674