An investigation into feedback and spatial relationships between banks? Share prices and sovereign bond spreads during the euro crisis
| dc.contributor.author | Gibson, Heather D. | |
| dc.contributor.author | Hall, Stephen George | |
| dc.contributor.author | Petroulas, Pavlos | |
| dc.contributor.author | Tavlas, George S. | |
| dc.date.accessioned | 2023-06-01T11:23:56Z | |
| dc.date.issued | 2022-12 | |
| dc.description.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. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.embargo | 2024-11-21 | |
| dc.description.librarian | hj2023 | en_US |
| dc.description.uri | https://www.elsevier.com/locate/jfstabil | en_US |
| dc.identifier.citation | Gibson, H.D., Hall, S.G., Petroulas, P. et al. 2022, 'An investigation into feedback and spatial relationships between banks? Share prices and sovereign bond spreads during the euro crisis', Journal of Financial Stability, vol. 63, art. 101056, pp. 1-11, doi : 10.1016/j.jfs.2022.101056. | en_US |
| dc.identifier.issn | 1572-3089 | |
| dc.identifier.other | 10.1016/j.jfs.2022.101056 | |
| dc.identifier.uri | http://hdl.handle.net/2263/90997 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2022 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of Financial Stability, vol. 63, art. 101056, pp. 1-11, doi : 10.1016/j.jfs.2022.101056. | en_US |
| dc.subject | Euro area crisis | en_US |
| dc.subject | Doom loops | en_US |
| dc.subject | Cross-country spillovers | en_US |
| dc.subject | Spatial estimation | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.title | An investigation into feedback and spatial relationships between banks? Share prices and sovereign bond spreads during the euro crisis | en_US |
| dc.type | Postprint Article | en_US |