Anmerkungen:
In: Journal of Empirical Finance, Vol. 49, 2018
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2019 erstellt
Beschreibung:
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