Credit Spread Interdependencies of European States and Banks During the Financial Crisis

By Adrian Alter, Y. Schüler. 2012

280 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/fcf12eb2c6de663b0488f26984cee1f43e626533

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Citations in the corpus

Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2015, background): “Alter and Schuler (2012) examined the relationship between sovereign default risk and domestic banks.”
Credit Default Swaps: A Survey (2014, background): “Alter and Schuler [2012] find that default risk was passed on predominantly from the bank to the sovereign sector before a financial rescue package from the ECB, the International Monetary Fund (IMF) and the E.”
Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, methodology): “…macroeconomics and finance (see e.g. Sims (1992), Bernanke & Blinder (1992), Christiano, Eichenbaum & Evans (1999), Kim & Roubini (2000), Brüggemann, Härdle, Mungo & Trenkler (2008), Alter & Schüler (2012)) use VARs and conclusions are based on statistics obtained from the estimated VAR model.”
Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012, background): “Alter and Schuler (2011) also focus on bank bailouts during the recent nancial crisis in Europe.”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Finally, Alter and Schüler (2012) find evidence for contagion from banks to sovereign CDS before public rescue programs for the financial sector were launched whereas sovereign CDS spreads do spillover to bank CDS series thereafter.”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “We highlight that the issue of interdependence (either in a static or a time–varying environment) between financial markets and its importance for portfolio managers, asset pricing model and forecasting has been extensively studied in the literature (see, for instance Apergis et al., 2016; Baruńık e”
Eurozone sovereign contagion: Evidence from the CDS market (2005–2010) (2012, background): “Thus, Alter and Schuler (2011) study the relationship between the sovereign CDS of seven EU countries and the CDS of their banks.”