Financial sector linkages and the dynamics of bank and sovereign credit spreads

Abstract

We propose two risk measures for capturing cross-border contagion in the banking system based on country-specific statistics for the composition of banks’ aggregate balance sheets. The measures help explain the dynamics of bank CDS premia after controlling for country specific and global risk factors. The first measure uses information on the relative size… (More)

Topics

12 Figures and Tables

Slides referencing similar topics