Arbeitspapier
Bank to sovereign risk spillovers across borders: Evidence from the ECB's comprehensive assessment
We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is shared within the euro area.
- ISBN
-
978-92-899-3298-1
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2193
- Klassifikation
-
Wirtschaft
Computable General Equilibrium Models
International Lending and Debt Problems
- Thema
-
bank-sovereign nexus
risk spillovers
stress test
European Central Bank
Comprehensive Assessment
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breckenfelder, Johannes
Schwaab, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- DOI
-
doi:10.2866/934841
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breckenfelder, Johannes
- Schwaab, Bernd
- European Central Bank (ECB)
Entstanden
- 2018
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