Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area

Published: Jan 1, 2015
Abstract
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...
Paper Details
Title
Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area
Published Date
Jan 1, 2015
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.