Contagion and interdependence in Eurozone bank and sovereign credit markets

Document Type

Article

Publication Title

International Journal of Finance and Economics

Publication Date

10-1-2018

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.

Volume

23

Issue

4

First Page

655

Last Page

674

DOI

10.1002/ijfe.1642

ISSN

10769307

E-ISSN

10991158

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