EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1898.en.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161898

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2023-06-15
Handle: RePEc:ecb:ecbwps:20161898