Systemic risk, sovereign yields and bank exposures in the euro crisis
Systemic risk, sovereign yields and bank exposures in the euro crisis
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Publisher
Oxford: John Wiley & Sons Ltd
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Language
English
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Publisher
Oxford: John Wiley & Sons Ltd
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Contents
Since 2008, eurozone sovereign yields have diverged sharply, and so have the corresponding credit default swap (CDS) premia. At the same time, banks' sovereign debt portfolios have featured an increasing home bias. In this paper, we investigate the relationship between these two facts, and its rationale. First, we inquire to what extent the dynamic...
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Full title
Systemic risk, sovereign yields and bank exposures in the euro crisis
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TN_cdi_proquest_miscellaneous_1567038525
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1567038525
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ISSN
0266-4658
E-ISSN
1468-0327
DOI
10.1111/1468-0327.12029
