期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：This paper presents time-varying contagion indices of credit risk spillover and feedbackbetween 64 financials and sovereigns in the euro area, where spillover is identified based onbilateral Granger causality regressions. Over-identification of contagion between financials’true credit risk and sovereign credit risk is avoided 1) by controlling for common factors; 2)by relying on fair value CDS spreads as the credit risk measure for financials. The resultsshow that in particular the run-up to the financial crisis and the more intense phases of thecrisis were associated with credit risk contagion and feedback. The institutions identified asmost central to the network during those episodes are known to have played important rolesduring the crisis. Furthermore, the tense periods were short-lived and sovereign-to-bankspillover is found to normalise when policy makers took measures to stem the crisis. Finally,a proxy for the value of implicit government guarantees to the financial sector was stillpositive towards the end of the sample, suggesting the financial-sovereign nexus had not beenremoved yet by new bank resolution mechanisms and regulatory changes
