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  1. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
    Author: Fratzscher, Marcel; Rieth, Malte
    Published: 2015
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  2. Error and generalization in discrete choice under risk
    Author: Wilcox, Nathaniel T.
    Published: 2015
    Publisher:  Chapman Univ., Economic Science Inst., Orange, Calif.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Chapman University, Economic Science Institute ; 15,11
    Subjects: : risk; discrete choice; probabilistic choice; heteroscedasticity; prediction
    Scope: Online-Ressource (42 S.), graph. Darst.
  3. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
    Author: Fratzscher, Marcel; Rieth, Malte
    Published: 2015
    Publisher:  DIW, Berlin

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk... more

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 14 (1448)
    Inter-library loan:
    No inter-library loan

     

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout policies by national governments. Testing specific hypotheses formulated in the literature, we find that bank bailout policies have reduced solvency risk in the banking sector, but partly at the expense of raising the credit risk of sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns and banks. Finally, we find spillover effects in particular from sovereigns in the euro area periphery to the core countries.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107428
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1448
    Subjects: Bankrisiko; Länderrisiko; Geldpolitik; Schuldenübernahme; Spillover-Effekt; Eurozone; Zentrum-Peripherie-Beziehungen; EU-Staaten; Credit risk; banks; sovereigns; monetary policy; bank bailout; heteroscedasticity; spillovers
    Scope: Online-Ressource (47 S.), graph. Darst.