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|a Bank to sovereign risk spillovers across borders
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|a We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is shared within the euro area.
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Breckenfelder, Johannes, Schwaab, Bernd |
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Breckenfelder, Johannes, Schwaab, Bernd |
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Breckenfelder, Johannes |
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We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is shared within the euro area. |
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Frankfurt am Main, Germany, European Central Bank, [2018] |
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Frankfurt am Main, Germany: European Central Bank, [2018] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-Zwi2 |
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Bank to sovereign risk spillovers across borders: evidence from the ECB's comprehensive assessment |
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(108090442)no 2193 (November 2018) |
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spelling |
Breckenfelder, Johannes VerfasserIn aut, Bank to sovereign risk spillovers across borders evidence from the ECB's comprehensive assessment Johannes Breckenfelder, Bernd Schwaab, Frankfurt am Main, Germany European Central Bank [2018], 1 Online-Ressource (circa 46 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2193 (November 2018), We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is shared within the euro area., Schwaab, Bernd VerfasserIn aut, Europäische Zentralbank Working paper series no 2193 (November 2018) 219300 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://dx.doi.org/10.2866/934841 Resolving-System kostenfrei Volltext, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2193.en.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/208227 Resolving-System kostenfrei, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2193.en.pdf LFER, LFER 2019-05-07T00:00:00Z |
spellingShingle |
Breckenfelder, Johannes, Schwaab, Bernd, Bank to sovereign risk spillovers across borders: evidence from the ECB's comprehensive assessment, Europäische Zentralbank, Working paper series, no 2193 (November 2018), We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is shared within the euro area. |
title |
Bank to sovereign risk spillovers across borders: evidence from the ECB's comprehensive assessment |
title_auth |
Bank to sovereign risk spillovers across borders evidence from the ECB's comprehensive assessment |
title_full |
Bank to sovereign risk spillovers across borders evidence from the ECB's comprehensive assessment Johannes Breckenfelder, Bernd Schwaab |
title_fullStr |
Bank to sovereign risk spillovers across borders evidence from the ECB's comprehensive assessment Johannes Breckenfelder, Bernd Schwaab |
title_full_unstemmed |
Bank to sovereign risk spillovers across borders evidence from the ECB's comprehensive assessment Johannes Breckenfelder, Bernd Schwaab |
title_in_hierarchy |
no 2193 (November 2018). Bank to sovereign risk spillovers across borders: evidence from the ECB's comprehensive assessment ([2018]) |
title_short |
Bank to sovereign risk spillovers across borders |
title_sort |
bank to sovereign risk spillovers across borders evidence from the ecb s comprehensive assessment |
title_sub |
evidence from the ECB's comprehensive assessment |
title_unstemmed |
Bank to sovereign risk spillovers across borders: evidence from the ECB's comprehensive assessment |
url |
http://dx.doi.org/10.2866/934841, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2193.en.pdf, http://hdl.handle.net/10419/208227 |