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  1. Sovereign default, domestic banks, and financial institutions
    Author: Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
    Published: [2012]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February, 2012
    Series: Working paper series / IGIER ; n. 462
    Subjects: Sovereign Risk; Capital Flows; Institutions; Financial Liberalization; Sudden Stops
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  2. Transmission of sovereign risk in the euro crisis
    Author: Brutti, Filippo; Filippo, Sauré
    Published: 2012
    Publisher:  Study Center Gerzensee, Gerzensee

    We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 529 (2012,1)
    Inter-library loan:
    No inter-library loan

     

    We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate how these shocks transmit across borders, we use data on cross-country bank exposures to sovereign debt. Our results indicate that exposure to Greek sovereign debt and debt of Greek banks constitute important transmission channels. Overall, financial linkages explain up to two thirds of transmission of sovereign debt in the Euro Crisis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/128074
    Series: Working paper / Study Center Gerzensee ; 12.01
    Subjects: Länderrisiko; Ansteckungseffekt; Haushaltsdefizit; Staatsbankrott; Griechenland; Schock; Haushaltsdefizit; Eurozone; EU-Staaten; Cross-country Transmission; Sovereign Risk; Financial Linkages; Euro Crisis; Narrative Approach
    Scope: Online-Ressource (45 S.), graph. Darst.