Credit Spread Interdependencies of European States and Banks during the Financial Crisis

dc.contributor.authorAlter, Adrian
dc.contributor.authorSchüler, Yves Stephan
dc.date.accessioned2015-02-20T09:31:33Z
dc.date.available2015-02-20T09:31:33Z
dc.date.issued2011eng
dc.description.abstractWe investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, Spain) and their domestic banks during the period June 2007 - May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the composition of both banks’ and sovereign balance sheets and, moreover, affected the linkage between the default risk of governments and their local banks. Our main findings suggest that in the period before bank bailouts the contagion disperses from bank credit spreads into the sovereign CDS market. After bailouts, a financial sector shock affects more strongly sovereign CDS spreads in the short-run, however, the impact becomes insignificant at a long horizon. Furthermore, government CDS spreads become an important determinant of banks’ CDS series. The interdependence of government and bank credit risk is heterogeneous across countries, but homogeneous within the same country.eng
dc.identifier.ppn426558391
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/29930
dc.language.isoengeng
dc.relation.ispartofseriesWorking Paper Series / Department of Economicseng
dc.rightsterms-of-use
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/
dc.subjectCDS, private-to-public risk transfer, bank bailout, generalized impulse responseseng
dc.subject.ddc330eng
dc.subject.jelC58
dc.subject.jelG01
dc.subject.jelG18
dc.subject.jelG21
dc.titleCredit Spread Interdependencies of European States and Banks during the Financial Crisiseng
dc.typeWORKINGPAPEReng
dspace.entity.typePublication
kops.bibliographicInfo.seriesNumber2011-24eng
kops.description.openAccessopenaccessgreen
kops.flag.knbibliographytrue
kops.identifier.nbnurn:nbn:de:bsz:352-0-270968
temp.internal.duplicates<p>Keine Dubletten gefunden. Letzte Überprüfung: 22.01.2015 10:17:10</p>deu
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