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Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area
16 references·6 citing·46 second hop
Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area (2015)Monetary Policy, Bank Bailouts and the So…Government guarantees and the two-way feedback between banking and sovereign debt crises (2018)Government guarantees and the…Government Guarantees and Financial Stability (2017)Government Guarantees and Fin…Banking and Sovereign Risk in the Euro Area (2016)Banking and Sovereign Risk in…An analysis of euro area sovereign CDS and their relation with government bonds (2015)An analysis of euro area sove…Assessing Asset Purchases within the ECB’s Securities Markets Programme (2013)Assessing Asset Purchases wit…The Eurozone Crisis: How Banks and Sovereigns Came to Be Joined at the Hip (2011)The Eurozone Crisis: How Bank…Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011)Sovereign Rating News and Fin…Sovereign CDS and Bond Pricing Dynamics in the Euro-area (2011)Sovereign CDS and Bond Pricin…How Sovereign Is Sovereign Credit Risk? 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(2007)How Sovereign is Sovereign Cr…Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Identification Through Heteroskedasticity (2003)Identification Through Hetero…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Identification, estimation and testing of conditionally heteroskedastic factor models (2001)Identification, estimation an…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models (1998)Identification, Estimation an…Spillover effects of credit default risk in the euro area and the effects on the Euro: A GVAR approach (2018)Spillover effects of credit d…News and return volatility of Chinese bank stocks (2018)News and return volatility of…Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment (2018)Bank to sovereign risk spillo…The state dependent impact of bank exposure on sovereign risk (2017)The state dependent impact of…Sovereign and bank Interdependencies—Evidence from the CDS market (2016)Sovereign and bank Interdepen…Credit and liquidity in interbank rates: A quadratic approach (2016)Credit and liquidity in inter…Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Market Liquidity and Funding Liquidity (2008)Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity (2009)Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011)Real Economic Shocks and Sovereign Credit Risk (2016)Statistical Inference in Random Coefficient Regression Models (1971)The cost of firms’ debt financing and the global financial crisis (2014)Economic policy uncertainty and risk spillovers in the Eurozone (2016)Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2018)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)The portfolio flows of international investors (2001)Emerging markets finance (2003)Financial contagion during COVID–19 crisis (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Governance of a Fragile Eurozone (2011)Credit Default Swaps: A Survey (2014)Exporting Sovereign Stress: Evidence from Syndicated Bank Lending during the Euro Area Sovereign Debt Crisis (2014)Modeling Term Structures of Defaultable Bonds (1999)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Bank Runs, Deposit Insurance, and Liquidity (1983)Global Games and Equilibrium Selection (1993)The Determinants of Banking Crises in Developing and Developed Countries (1998)How do insured deposits affect bank risk? Evidence from the 2008 Emergency Economic Stabilization Act (2015)Double bank runs and liquidity risk management (2016)Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions (2020)Factor Analysis as a Statistical Method. (1972)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)On the measurement of the international propagation of shocks: is the transmission stable? (2003)Testing for contagion: a conditional correlation analysis (2005)The effects of war risk on US financial markets (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Limits of Arbitrage (1995)Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective (2019)Measuring The Reaction of Monetary Policy to the Stock Market (2003)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2001Identification, estimation and testing of conditionally heteroskedastic factor models276 cited
  • 2011Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis237 cited
  • 2015An analysis of euro area sovereign CDS and their relation with government bonds225 cited
  • 2016Banking and Sovereign Risk in the Euro Area213 cited
  • 2007How Sovereign is Sovereign Credit Risk?201 cited
  • 2017Government Guarantees and Financial Stability182 cited
  • 2011The Eurozone Crisis: How Banks and Sovereigns Came to Be Joined at the Hip179 cited
  • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission139 cited
  • 2011Sovereign CDS and Bond Pricing Dynamics in the Euro-area93 cited
  • 2018Government guarantees and the two-way feedback between banking and sovereign debt crises89 cited
  • 2013Assessing Asset Purchases within the ECB’s Securities Markets Programme

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72 cited
  • 1998Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models71 cited
  • Cited by

    • 2016Sovereign and bank Interdependencies—Evidence from the CDS market43 cited
    • 2018Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment35 cited
    • 2017The state dependent impact of bank exposure on sovereign risk28 cited
    • 2018News and return volatility of Chinese bank stocks26 cited
    • 2018Spillover effects of credit default risk in the euro area and the effects on the Euro: A GVAR approach24 cited
    • 2016Credit and liquidity in interbank rates: A quadratic approach24 cited