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EnglishWe investigate the comovement between sovereign and bank credit risk in the Euro area over the period 2008-2010. We construct two synthetic credit risk measures of the European sovereign and banking sectors that can be used for macro-prudential supervision. We estimate a Vector error- correction model and we obtain empirical evidence of a cointegration relationship between sovereign and bank credit risk. Moreover, we find that deviations from this equilibrium relationship are adjusted through the banking sector. Finally, impulse response functions show that it is possible to distinguish between a permanent sovereign shock and a transitory banking shock.
| Titolo: | The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area |
| Autori: | |
| Data di pubblicazione: | 2012 |
| Rivista: | |
| Abstract: | We investigate the comovement between sovereign and bank credit risk in the Euro area over the period 2008-2010. We construct two synthetic credit risk measures of the European sovereign and banking sectors that can be used for macro-prudential supervision. We estimate a Vector error- correction model and we obtain empirical evidence of a cointegration relationship between sovereign and bank credit risk. Moreover, we find that deviations from this equilibrium relationship are adjusted through the banking sector. Finally, impulse response functions show that it is possible to distinguish between a permanent sovereign shock and a transitory banking shock. |
| Handle: | http://hdl.handle.net/11385/78264 |
| Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |
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| File | Descrizione | Tipologia | Licenza | |
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| Art_Riv_Ban_F_Nucera.pdf | Documento in Post-print | DRM non definito | Administrator |
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