Structural breaks in the interaction between bank and sovereign default risk
Abstract The recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk and showed that major shocks may lead to a self-reinforcing negative spiral. In this paper, we analyse the pattern of interaction between bank and sovereign default risk by...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-08-01
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| Series: | SERIEs: Journal of the Spanish Economic Association |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s13209-020-00219-z |