Bank-sovereign ties against interbank market integration: the case of the Italian segment

Medientyp: E-Book
Titel: Bank-sovereign ties against interbank market integration : the case of the Italian segment
Beteiligte: Saroyan, Susanna [Verfasser:in]; Popoyan, Lilit [Verfasser:in]
Erschienen: Pisa, Italy: LEM, Laboratory of Economics and Management, Institute of Economics, Scuola Superiore Sant'Anna, January 2017
Erschienen in: Scuola superiore Sant'Anna di studi universitari e di perfezionamento: LEM working paper series ; 201702
Umfang: 1 Online-Ressource (circa 30 Seiten); Illustrationen
Sprache: Englisch
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Schlagwörter: Arbeitspapier ; Graue Literatur
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Beschreibung: This paper investigates interbank market fragmentation that results from the bank-sovereign risk nexus. We focus on the Italian market fragmentation during the post-Lehman and sovereign debt crisis era. By using Italian bank and GIPSI country CDS spread changes, we suggest a new measure of sovereign/bank spillovers, based on partial correlations. Then, we examine the relationship between the sovereign-to-banks contagion risk variable and market fragmentation in rate on the e-MID interbank market data. We find that the bank-sovereign nexus is a signicant source of fragmentation during the most acute phase of the sovereign debt crisis. Our findings suggest that even if the home country/bank ties impact interbank market integration seriously, the risk from other distressed countries is not negligible.
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