1. Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman.
   In: European Economy - Discussion Papers 2015 -.
   RePEc:euf:dispap:137.

   Full description at Econpapers || Download paper

2. Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios.
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000383.

   Full description at Econpapers || Download paper

3. CoMap: Mapping Contagion in the Euro Area Banking Sector. (2021). Kok, Christoffer ; Gorpe, Mehmet Ziya ; Covi, Giovanni.
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301170.

   Full description at Econpapers || Download paper

4. A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna.
   In: The Journal of Economic Asymmetries.
   RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x.

   Full description at Econpapers || Download paper

5. Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka.
   In: Working Paper Series in Economics.
   RePEc:zbw:kitwps:125.

   Full description at Econpapers || Download paper

6. Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka.
   In: Working Paper Series in Economics.
   RePEc:zbw:kitwps:123.

   Full description at Econpapers || Download paper

7. Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria. (2019). Fasanya, Ismail.
   In: Zagreb International Review of Economics and Business.
   RePEc:zag:zirebs:v:22:y:2019:i:2:p:71-94.

   Full description at Econpapers || Download paper

8. CoMap: Mapping Contagion in the Euro Area Banking Sector. (2019). Kok, Christoffer ; Covi, Giovanni ; Gorpe, Mehmet Ziya.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2019/102.

   Full description at Econpapers || Download paper

9. Predictive Analysis of Fiscal Crises with Deep Learning Time Series Model. (2019). Cang, Wang Man ; Matt, Zhou Ming.
   In: International Journal of Economics and Finance.
   RePEc:ibn:ijefaa:v:11:y:2019:i:5:p:21.

   Full description at Econpapers || Download paper

10. Do political factors influence banking crisis?. (2019). Hasanov, Rashad ; Bhattacharya, Prasad Sankar.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:76:y:2019:i:c:p:305-318.

    Full description at Econpapers || Download paper

11. CoMap: mapping contagion in the euro area banking sector. (2019). Covi, Giovanni ; Kok, Christoffer ; Gorpe, Mehmet Ziya.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192224.

    Full description at Econpapers || Download paper

12. Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets. (2018). Balteanu, Irina ; Erce, Aitor.
    In: IMF Economic Review.
    RePEc:pal:imfecr:v:66:y:2018:i:4:d:10.1057_s41308-018-0066-4.

    Full description at Econpapers || Download paper

13. Brexit and CDS spillovers across UK and Europe. (2018). .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01736525.

    Full description at Econpapers || Download paper

14. Brexit and CDS spillovers across UK and Europe. (2018). Selmi, Refk ; bouoiyour, jamal.
    In: Post-Print.
    RePEc:hal:journl:hal-01736525.

    Full description at Econpapers || Download paper

15. Spillover effects among financial institutions within Germany and the United Kingdom. (2018). Ghulam, Yaseen ; Doering, Jana.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:49-63.

    Full description at Econpapers || Download paper

16. Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

    Full description at Econpapers || Download paper

17. Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets. (2017). Erce, Aitor ; Balteanu, Irina.
    In: Working Papers.
    RePEc:stm:wpaper:22.

    Full description at Econpapers || Download paper

18. Box dynamics: A sectoral approach to analyse containerized port throughput interdependencies. (2017). Paflioti, Persa ; Tsamourgelis, Ioannis ; Teye, Collins ; Vitsounis, Thomas K.
    In: Transportation Research Part A: Policy and Practice.
    RePEc:eee:transa:v:106:y:2017:i:c:p:396-413.

    Full description at Econpapers || Download paper

19. Fiscal spillovers in the euro area a model-based analysis. (2017). Vetlov, Igor ; Lalik, Magdalena ; Attinasi, Maria Grazia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172040.

    Full description at Econpapers || Download paper

20. Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, George.
    In: Working Papers.
    RePEc:bog:wpaper:240.

    Full description at Econpapers || Download paper

21. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160084.

    Full description at Econpapers || Download paper

22. Unbalanced regional resilience to the economic crisis in Spain: a tale of specialisation and productivity. (2016). Cuadrado-Roura, Juan ; Maroto, Andres .
    In: Cambridge Journal of Regions, Economy and Society.
    RePEc:oup:cjrecs:v:9:y:2016:i:1:p:153-178..

    Full description at Econpapers || Download paper

23. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:98037.

    Full description at Econpapers || Download paper

24. Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect. (2015). PSILLAKI, Maria ; Papafilis, Michalis-Panayiotis ; Margaritis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:68037.

    Full description at Econpapers || Download paper

25. Measuring Connectedness of Euro Area Sovereign Risk. (2015). Schienle, Melanie ; Gatjen, Rebekka .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-019.

    Full description at Econpapers || Download paper

26. Bank and sovereign risk feedback loops. (2015). Erce, Aitor.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:227.

    Full description at Econpapers || Download paper

27. Spillover in Euro Area Sovereign Bond Markets. (2015). Cronin, David ; Conefrey, Thomas.
    In: The Economic and Social Review.
    RePEc:eso:journl:v:46:y:2015:i:2:p:197-231.

    Full description at Econpapers || Download paper

28. Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area. (2015). Rieth, Malte ; Fratzscher, Marcel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1448.

    Full description at Econpapers || Download paper

29. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2015). Rieth, Malte ; Fratzscher, Marcel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10370.

    Full description at Econpapers || Download paper

30. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2014). Rieth, Malte ; Fratzscher, Marcel.
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100277.

    Full description at Econpapers || Download paper

31. Bank crises and sovereign defaults in emerging markets: exploring the links. (2014). Erce, Aitor ; Balteanu, Irina.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:184.

    Full description at Econpapers || Download paper

32. Banking crises and sovereign defaults in emerging markets: exploring the links. (2014). Erce, Aitor ; Balteanu, Irina.
    In: Working Papers.
    RePEc:bde:wpaper:1414.

    Full description at Econpapers || Download paper

33. Spillovers and contagion in the sovereign CDS market. (2013). Adam, Micha .
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604.

    Full description at Econpapers || Download paper

34. The pricing of sovereign risk and contagion during the European sovereign debt crisis. (2013). Fratzscher, Marcel ; Beirne, John.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131625.

    Full description at Econpapers || Download paper

35. A macro stress testing framework for assessing systemic risks in the banking sector. (2013). Vouldis, Angelos ; Pancaro, Cosimo ; Żochowski, Dawid ; Kok, Christoffer ; Henry, Jerome ; Halaj, Grzegorz ; Amzallag, Adrien ; Zimmermann, Maik ; Sydow, Matthias ; Leber, Miha ; Kolb, Markus ; Gross, Marco ; Grodzicki, Maciej ; CABRAL, Ines ; Baudino, Patrizia .
    In: Occasional Paper Series.
    RePEc:ecb:ecbops:2013152.

    Full description at Econpapers || Download paper

36. Spillover in Euro Area Sovereign Bond Markets. (2013). Cronin, David ; Conefrey, Thomas.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:05/rt/13.

    Full description at Econpapers || Download paper

37. The theoretical roots of EMU institutions and policies during the crisis. (). acocella, nicola.
    In: Working Papers.
    RePEc:rsq:wpaper:26/14.

    Full description at Econpapers || Download paper

1. Acharya, V., Drechsler, I. & Schnabl, P., 2012. A pyrrhic victory? – Bank bailouts and sovereign credit risk. NYU Working Paper.
   Paper not yet in RePEc: Add citation now
   
2. Acharya, V., Pederson, L., Philippon, T. & Richardson, M., 2010. Measuring systemic risk. Federal Reserve Bank of Cleveland, Working Paper 2.
   Paper not yet in RePEc: Add citation now
   
3. Allen, F. & Gale, D., 2000. Financial Contagion. Journal of Political Economy, Volume 108(1), pp. 1-33.
   Paper not yet in RePEc: Add citation now
   

4. Alter, A. & Schüler, Y., 2012. Credit spread interdependencies of European states and banks during the financial crisis. Journal of Banking and Finance, Volume 36(12), pp. 3444-3468.

5. Ang, A. & Longstaff, F., 2011. Systemic sovereign credit risk: Lessons from the U.S. and Europe. NBER, p. Working Paper 16982.
   Paper not yet in RePEc: Add citation now
   

6. Beirne, J. & Fratzscher, M., 2012. The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis. Journal of International Money and Finance, forthcoming.

7. Bekaert, G., Harvey, C. & Ng, A., 2005. Market Integration and Contagion. Journal of Business, Volume 78(1), pp. 39-70.

8. Berndt, A. & Obreja, I., 2010. Decomposing European CDS returns. Review of Finance 14, pp. 189-233.

9. Bicu, A. & Candelon, B., 2012. On the importance of indirect banking vulnerabilities in the Eurozone. Maastricht University Working Paper Series RM/12/033.

10. BIS, 2011. The impact of sovereign credit risk on bank funding conditions. Bank for International Settlements.

11. Caceres, C., Guzzo, V. & Segoviano, M., 2010. Sovereign spreads: Global risk aversion, contagion or fundamentals?. IMF Working Paper.

12. Caporin, M., Pelizzon, L., Ravazzolo, F. & Rigobon, R., 2012. Measuring sovereign contagion in Europe. Working Paper 2012/05, Norges Bank.

13. Claeys, P. & Vašíček, B., 2012. Measuring sovereign bond spillover in Europe and the impact of rating news. Working paper.

14. Constâncio, V., 2012. Contagion and the European debt crisis. Banque de France, Financial Stability Review No. 16., pp. 109 - 121.
    Paper not yet in RePEc: Add citation now
    
15. De Bandt, O., Hartmann, P. & Peydro, J. L., 2009. Systemic risk in banking: An update. In: A. Berger, P. Molyneux & J. Wilson, eds. Oxford Handbook of Banking. s.l.:Oxford University Press, UK, pp. 633-672.
    Paper not yet in RePEc: Add citation now
    

16. De Bruyckere, V., Gerhardt, M., Schepens, G. & Vander Vennet, R., 2012. Bank/sovereign risk spillovers in the European debt crisis. National Bank of Belgium Working Paper Research No. 232.

17. De Santis, R. A., 2012. The euro area sovereign debt crisis: save haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. ECB Working Paper 1419.

18. De Socio, A., 2011. The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”. Banca d'Italia Working Paper No. 819.

19. Diebold, F. X. & Yilmaz, K., 2009. Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal, Issue 119, pp. 158-171.

20. Diebold, F. X. & Yilmaz, K., 2011. On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. PIER Working Paper 11-031.

21. Diebold, F. X. & Yilmaz, K., 2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, Issue 28, pp. 57-66. Donati, P., n.d. Modelling Spillovers and Measuring their Impact and Persistence: Application to CDS Spreads during the Euro Area Sovereign Crisis. ECB unpublished manuscript.

22. Dornbusch, R., Park, Y. & Claessens, S., 2000. Contagion: Understanding hoe it spreads. The World Bank Research Observer, 15(2), pp. 177-197.

23. Dungey, M., Fry, R., Gonzalez-Hermosillo, B. & Martin, V., 2004. Empirical modelling of contagion : A review of methodologies. IMF Working Paper WP/04/78, pp. 1 - 32.

24. Ejsing, J. & Lemke, W., 2011. The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009. Economics Letters 110, pp. 28-31.

25. European Central Bank, 2009. The concept of systemic risk, Special Feature B. Financial Stability Review, Issue December, pp. 134-142.
    Paper not yet in RePEc: Add citation now
    
26. European Central Bank, 2010. Analytical models and tools for identification and assessment of systemic risks, Special Feature B. Financial Stability Review, Issue June, pp. 138-146.
    Paper not yet in RePEc: Add citation now
    

27. Favero, C. & Giavazzi, F., 2002. Is the international propagation of financial shocks non linear? Evidence from the ERM. Journal of International Economics, Vol. 57(1), pp. 231-246.

28. Fontana, A. & Scheicher, M., 2010. An analyisis of euro area sovereign CDS and their relation with government bonds. ECB Working Paper Series, Issue 1271.

29. Forbes, K. & Rigobon, R., 2002. No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance, Vol. 18(4), pp. 2223-2261.

30. Forbes, K., 2012. The Big C: Identifying and mitigating contagion. MIT Sloan School Working Paper 4970-12.

31. Gross, M. & Kok, C., 2012. A mixed-cross-section GVAR for countries and banks. ECB Working paper, p. forthcoming.
    Paper not yet in RePEc: Add citation now
    

32. Hartmann, P., Straetmans, S. & de Vries, C., 2005. Banking system stability: A cross-Atlantic perspective. ECB Working Paper Series No. 527.

33. Huang, X., Zhou, H. & Zhu, H., 2009. A framework for assessing the systemic risk of major financial institutions. BIS Working Papers 281.

34. Kalbaska, A. & Gatkowski, M., 2012. Eurozone sovereign contagion: Evidence from the CDS market (2005-2010). Journal of Economic Behaviour and Organization, forthcoming.
    Paper not yet in RePEc: Add citation now
    

35. Koop, G., Pesaran, M. H. & Potter, S. M., 1996. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), pp. 119-147.

36. Lütkepohl, H., 2007. New introduction to multiple time series analysis. New York. 2nd: Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    

37. Longstaff, F., Pan, J., Pedersen, L. & Singleton, K., 2011. How sovereign is sovereign credit risk?. American Economic Journal: Macroeconomics 3, pp. 75-103.

38. Merler, S. & Pisani-Ferry, J., 2012. Hazardous tango: sovereign-bank interdependence and financial stability in the euro area. Banque de France - Financial Stability Review, Issue April.

39. Palladini, G. & Portes, R., 2011. Sovereign CDS and bond pricing dynamics in the euro-area. NBER Working Paper 17586, pp. 1-35.

40. Pesaran, H. & Shin, Y., 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58, pp. 17-29.

41. Pritsker, M., 2001. The channels for financial contagion. in S. Claessens and K. Forbes (eds.), International Financial Contagion, pp. 67-95.
    Paper not yet in RePEc: Add citation now
    
42. Segoviano, M., 2006. Consistent information multivariate density optimization methodology. Financial Markets Group, p. Discussion Paper No. 557.
    Paper not yet in RePEc: Add citation now
    

43. Zhang, X., Schwaab, B. & Lucas, A., 2011. Conditional probabilities and contagion measures for euro area sovereign default risk. Tinbergen Institute Discussion Paper, pp. TI 11176 /2/DSF29. APPENDIX A1 DESCRIPTION OF VARIABLES AND EVENTS

1. Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael.
   In: Cardiff Economics Working Papers.
   RePEc:cdf:wpaper:2019/6.

   Full description at Econpapers || Download paper

2. Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20161898.

   Full description at Econpapers || Download paper

3. Sovereign Risk and the Pricing of Corporate Credit Default Swaps. (2015). Haerri, Matthias ; Morkoetter, Stefan ; Westerfeld, Simone .
   In: Working Papers on Finance.
   RePEc:usg:sfwpfi:2014:23.

   Full description at Econpapers || Download paper

4. Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis. (2015). Beltratti, Andrea ; Stulz, Rene M..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:21150.

   Full description at Econpapers || Download paper

5. Systemic risk in European sovereign debt markets: A CoVaR-copula approach. (2015). Ugolini, Andrea ; Reboredo, Juan.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:51:y:2015:i:c:p:214-244.

   Full description at Econpapers || Download paper

6. Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area. (2015). Rieth, Malte ; Fratzscher, Marcel.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1448.

   Full description at Econpapers || Download paper

7. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2015). Rieth, Malte ; Fratzscher, Marcel.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10370.

   Full description at Econpapers || Download paper

8. Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?. (2014). Tonzer, Lena ; Buchholz, Manuel.
   In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
   RePEc:zbw:vfsc14:100443.

   Full description at Econpapers || Download paper

9. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2014). Rieth, Malte ; Fratzscher, Marcel.
   In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
   RePEc:zbw:vfsc14:100277.

   Full description at Econpapers || Download paper

10. The causal linkages between sovereign CDS prices for the BRICS and major European economies. (2014). Stolbov, Mikhail.
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:201426.

    Full description at Econpapers || Download paper

11. The causal linkages between sovereign CDS prices for the BRICS and major European economies. (2014). Stolbov, Mikhail.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:20149.

    Full description at Econpapers || Download paper

12. Systemic risk spillovers in the European banking and sovereign network. (2014). Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank ; Schienle, Melanie.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:467.

    Full description at Econpapers || Download paper

13. How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia. (2014). Stolbov, Mikhail.
    In: Panoeconomicus.
    RePEc:voj:journl:v:61:y:2014:i:3:p:331-348.

    Full description at Econpapers || Download paper

14. Sovereign and bank CDS spreads: two sides of the same coin?. (2014). cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:201402.

    Full description at Econpapers || Download paper

15. Sovereign Default Risk and State-Owned Bank Fragility in Emerging Markets. (2014). Hodula, Martin ; Deev, Oleg.
    In: MPRA Paper.
    RePEc:pra:mprapa:62539.

    Full description at Econpapers || Download paper

16. Sovereign and bank CDS spreads: two sides of the same coin?. (2014). cotter, john ; Avino, Davide.
    In: MPRA Paper.
    RePEc:pra:mprapa:55208.

    Full description at Econpapers || Download paper

17. Inference in VARs with Conditional Heteroskedasticity of Unknown Form. (2014). Trenkler, Carsten ; Brüggemann, Ralf ; Jentsch, Carsten ; Bruggemann, Ralf .
    In: Working Papers.
    RePEc:mnh:wpaper:36858.

    Full description at Econpapers || Download paper

18. Inference in VARs with Conditional Heteroskedasticity of Unknown Form. (2014). Trenkler, Carsten ; Brüggemann, Ralf ; Jentsch, Carsten ; Bruggemann, Ralf .
    In: Working Paper Series of the Department of Economics, University of Konstanz.
    RePEc:knz:dpteco:1413.

    Full description at Econpapers || Download paper

19. The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally. (2014). Gori, Filippo.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp16-2014.

    Full description at Econpapers || Download paper

20. Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion. (2014). Gabbi, Giampaolo ; Kalbaska, Alesia ; Vercelli, Alessandro.
    In: Working papers.
    RePEc:fes:wpaper:wpaper56.

    Full description at Econpapers || Download paper

21. The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies. (2014). Kliber, Agata.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:64:y:2014:i:4:p:330-350.

    Full description at Econpapers || Download paper

22. The sovereign-bank rating channel and rating agencies downgrades during the European debt crisis. (2014). ap Gwilym, Owain ; Alsakka, Rasha ; Vu, Tuyet Nhung .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:49:y:2014:i:pb:p:235-257.

    Full description at Econpapers || Download paper

23. Sovereign risk and the bank lending channel in Europe. (2014). Torre-Olmo, Begoa ; Sanfilippo-Azofra, Sergio ; Cantero-Saiz, Maria ; Lopez-Gutierrez, Carlos.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:47:y:2014:i:c:p:1-20.

    Full description at Econpapers || Download paper

24. Can European bank bailouts work?. (2014). Siegmann, Arjen ; Schoenmaker, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:48:y:2014:i:c:p:334-349.

    Full description at Econpapers || Download paper

25. The dynamics of spillover effects during the European sovereign debt turmoil. (2014). Beyer, Andreas ; Alter, Adrian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:134-153.

    Full description at Econpapers || Download paper

26. Testing for a break in the persistence in yield spreads of EMU government bonds. (2014). Wegener, Christoph ; Sibbertsen, Philipp ; Basse, Tobias.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:41:y:2014:i:c:p:109-118.

    Full description at Econpapers || Download paper

27. Sovereign and bank CDS spreads: Two sides of the same coin?. (2014). cotter, john ; Avino, Davide.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:72-85.

    Full description at Econpapers || Download paper

28. Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps. (2014). Vašíček, Bořek ; Vaiek, Boek ; Miao, RongHui ; Calice, Giovanni ; trba, Filip .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141717.

    Full description at Econpapers || Download paper

29. Market perception of sovereign credit risk in the euro area during the financial crisis. (2014). Serwa, Dobromił ; Camba-Mendez, Gonzalo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141710.

    Full description at Econpapers || Download paper

30. The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion. (2014). rharrabti, houda ; RAYMOND, Helene ; Allegret, Jean-Pierre.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2014-24.

    Full description at Econpapers || Download paper

31. Distributional Linkages between European Sovereign Bond and Bank Asset Returns. (2014). Mencia, Javier ; Galvez, Julio.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2014_1407.

    Full description at Econpapers || Download paper

32. Monitoring the European CDS Market through Networks: Implications for Contagion Risks.. (2014). Gabrieli, Silvia ; CLERC, Laurent ; El Omari, Y. ; Kern, S..
    In: Working papers.
    RePEc:bfr:banfra:477.

    Full description at Econpapers || Download paper

33. On bank credit risk: systemic or bank-specific? Evidence from the US and UK. (2014). Zinna, Gabriele ; Li, Junye.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_951_14.

    Full description at Econpapers || Download paper

34. What drives corporate default risk premia? Evidence from the CDS market. (2013). Diaz, Antonio ; Serrano, Pedro ; Groba, Jonatan .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:37:y:2013:i:c:p:529-563.

    Full description at Econpapers || Download paper

35. Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis. (2013). Lo, Chi-Fai ; Lau, Chun-Sing ; Hui, Cho-Hoi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3694-3703.

    Full description at Econpapers || Download paper

36. On the importance of indirect banking vulnerabilities in the Eurozone. (2013). Candelon, Bertrand ; Bicu, Andreea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5007-5024.

    Full description at Econpapers || Download paper

37. Bank/sovereign risk spillovers in the European debt crisis. (2013). Vander Vennet, Rudi ; Schepens, Glenn ; de Bruyckere, Valerie ; Gerhardt, Maria .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:4793-4809.

    Full description at Econpapers || Download paper

38. On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina. (2013). Sottile, Pedro .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:15:y:2013:i:c:p:160-185.

    Full description at Econpapers || Download paper

39. The dynamics of spillover effects during the European sovereign debt crisis. (2013). Beyer, Andreas ; Alter, Adrian.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131558.

    Full description at Econpapers || Download paper

40. Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps. (2013). Vašíček, Bořek ; Vasicek, Borek ; Miao, RongHui ; Calice, Giovanni ; Sterba, Filip .
    In: Working Papers.
    RePEc:cnb:wpaper:2013/13.

    Full description at Econpapers || Download paper

41. Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis. (2013). Tommasino, Pietro ; Pericoli, Marcello ; Giordano, Raffaela.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_904_13.

    Full description at Econpapers || Download paper

42. The dynamics of spillover effects during the European sovereign debt turmoil. (2012). Beyer, Andreas ; Alter, Adrian.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201213.

    Full description at Econpapers || Download paper

43. Sovereign Credit Default Swap Premia. (2012). Augustin, Patrick.
    In: Working Papers.
    RePEc:ste:nystbu:12-10.

    Full description at Econpapers || Download paper

44. Bank/sovereign risk spillovers in the European debt crisis. (2012). Vander Vennet, Rudi ; Schepens, Glenn ; DE BRUYCKERE, V. ; GERHARDT, M..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:12/828.

    Full description at Econpapers || Download paper

45. When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads. (2012). Wei, Shang-Jin ; Bai, Jennie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18600.

    Full description at Econpapers || Download paper

46. When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads. (2012). Wei, Shang-Jin.
    In: Staff Reports.
    RePEc:fip:fednsr:579.

    Full description at Econpapers || Download paper

47. Are banks affected by their holdings of government debt?. (2012). Wolff, Guntram ; Angeloni, Chiara .
    In: Working Papers.
    RePEc:bre:wpaper:717.

    Full description at Econpapers || Download paper

48. A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. (2011). Schnabl, Philipp ; Acharya, Viral ; Drechsler, Itamar.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8679.

    Full description at Econpapers || Download paper

49. Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis. (2011). Vitek, Francis ; Bayoumi, Tamim.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8497.

    Full description at Econpapers || Download paper

50. A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. (2011). Schnabl, Philipp ; Drechsler, Itamar ; Acharya, Viral.
    In: Working Papers.
    RePEc:bfi:wpaper:2012-004.

    Full description at Econpapers || Download paper

Report date: 2025-02-28 07:47:42 || Missing content? Let us know