Bank/Sovereign Risk Spillovers in the European Debt Crisis

By V. D. Bruyckere, M. Gerhardt, G. Schepens, Rudi Vander Vennet. 2012

360 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0e8982d170426b0dda228ba4d3a301371562bf77

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Citations in the corpus

Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, methodology): “Potential multicollinearity between bank capital and non-performing loan and credit growth motivate the different control variables used in these two specifications (Aebi et al., 2012; Bruyckere et al., 2013; Shrieves and Dahl, 1992).”
Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2015, background): “De Bruyckere et al. (2013) studied contagion between bank and sovereign default risk in Europe through asset, collateral and rating channels.”
Macroprudential policy and bank systemic risk (2020, neutral): “This approach allows us to control for the well-known bank-sovereign feedback loop which was responsible for a surge in banks’ systemic risk, especially in the vulnerable Eurozone countries (De Bruyckere et al., 2013). For countries where the sovereign CISS is not available we use the euro area CISS”
National culture and bank risk-taking (2017, methodology): “Existing academic literature also uses it; see for example Acharya et al. (2011); Acharya and Steffen (2015); De Bruyckere et al. (2013); Thanassoulis, (2014); Thiripalraju and Acharya (2010).”
Credit Default Swaps: A Survey (2014, background): “Bruyckere et al. [2013] investigate contagion/spillovers between sovereign and bank risk for 15 countries and more than 50 banks through the lens of excess correlations, defined as the correlation in residual CDS spreads after the influence of country-specific and global risk factors has been remove”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, neutral): “…are driven by systemic financial externalities that have a negative impact on the real economy and consequently on public finances, see e.g. Acharya et al. (2011), Alter and Schüler (2012), Bicu and Candelon (2012), De Bruyckere et al. (2012), Merler and Pisani-Ferry (2012) or Gross and Kok (2012).”