Distributional Linkages between European Sovereign Bond and Bank Asset Returns
Julio Galvez () and
Javier Mencia ()
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Julio Galvez: CEMFI, Centro de Estudios Monetarios y Financieros, http://www.cemfi.es
Working Papers from CEMFI
We analyse the dependence between sovereign bonds’ and banks’ asset return distributions with a large panel of European data from 2001 to 2013. Using quantile regressions, we identify nonlinear contemporaneous and lagged dependence. As a result, shocks to crisis-hit sovereign bonds have contemporaneous effects on the whole distribution of banks’ returns, as well as a persistent impact in the tails. Our results offer relevant insights about the relationship between banking and sovereign crises. In particular, during the recent financial crisis, banks’ asset return distributions have lower means and fatter tails than in the absence of a simultaneous sovereign crisis.
Keywords: Quantile regressions; nonlinear dependence; counterfactual analyses; systemic risk. (search for similar items in EconPapers)
JEL-codes: G15 G21 F34 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2014_1407
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