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
Recommended Citation
Bratis, T., Laopodis, N., & Kouretas, G. (2018). Contagion and interdependence in Eurozone bank and sovereign credit markets. International Journal of Finance and Economics, 23 (4), 655-674. https://doi.org/10.1002/ijfe.1642
ISSN
10769307
E-ISSN
10991158
