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Credit risk spillover between financials and sovereigns in the euro area during 2007-2015

Olivier Vergote ()

No 1898, Working Paper Series from European Central Bank

Abstract: This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials JEL Classification: C45, E44, E65, G01, G13, G28, H81

Keywords: bank-sovereign nexus; contagion; credit risk; feedback loops; Granger causality; spillover (search for similar items in EconPapers)
Date: 2016-04
New Economics Papers: this item is included in nep-eec and nep-rmg
Note: 1503965
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Handle: RePEc:ecb:ecbwps:20161898