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
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Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:23:y:2018:i:4:p:655-674

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