Journal of Financial Stability Vol. 63 2022
An investigation into feedback and spatial relationships between banks’ share prices and sovereign bond spreads during the euro crisis
open access
Abstract
We examine (1) spillover effects between euro-area sovereigns and banking systems within national jurisdictions and (2) cross-country spillovers among ten countries during the euro-area crisis. We find that cross-country spillovers substantially amplify the doom loops between the sovereign and banking sectors. We also provide a test that supports the hypothesis that cross-country spillovers among southern-euro-area countries were of a different order from the spillovers among northern-euro-area countries. Our results also imply that, if shocks are idiosyncratic, spillover effects may help in reducing the impact for northern countries.
- DOI
- 10.1016/j.jfs.2022.101056
- Volume
- 63
- Pages
- 101056
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref