This document has not been cited yet.

1. Adjemian, S., Bastani, H., Juillard, M., Karamé, F., Mihoubi, F., Perendia, G., Pfeifer, J., Ratto, M., and Villemot, S. (2011). Dynare: Reference manual, version 4. Dynare Working Papers, 1, CEPREMAP.
   Paper not yet in RePEc: Add citation now
   

2. Alter, A. and Beyer, A. (2014). The dynamics of spillover effects during the european sovereign debt turmoil. Journal of Banking and Finance, 42:134–153.

3. Altonji, J. G. (1986). Intertemporal substitution in labor supply: Evidence from micro data. Journal of Political Economy, 94 (3):S176–S215.

4. Andersson, M., Krylova, E., and Vähämaa, S. (2008). Why does the correlation between stock and bond returns vary over time? Applied Financial Economics, 18:139–151.
   Paper not yet in RePEc: Add citation now
   

5. Auray, S. and Eyquem, A. (2018). On the role of debt maturity in a model with sovereign risk and financial frictions. Macroeconomic Dynamics, forthcoming.

6. Auray, S., Eyquem, A., and Ma, X. (2018). Banks, sovereign risk and unconventional monetary policies. European Economic Review, 108:153–171.

7. Barrios, S., Iversen, P., Lewandowska, M., and Setzer, R. (2009). Determinants of intra-euro area government bond spreads during the financial crisis. Economic Papers 388, European Commission Directorate-General for Economic and Financial Affairs.

8. Beirne, J. and Fratzcher, M. (2013). The pricing of sovereign risk and contagion during the european sovereign debt crisis. Journal of International Money and Finance, 34:60–82.

9. Bi, H. (2012). Sovereign default risk premia, fiscal limits, and fiscal policy. European Economic Review, 56 (3):389–410.

10. BIS (2011). The impact of sovereign credit risk on bank funding conditions. Committee on the Global Financial System Papers, 43.
    Paper not yet in RePEc: Add citation now
    

11. Bocola, L. (2016). The pass-through of sovereign risk. Journal of Political Economy, 124(4):879– 926.

12. Bohn, H. (1998). The behavior of u.s. public debt and deficits. Quarterly Journal of Economics, 113:949–963.

13. Campbell, J. Y., Pflueger, C., and Viceira, L. M. (2014). Monetary policy drivers of bond and equity risks. NBER Working Paper 20070.

14. CEPII Working Paper Sovereign risk and asset market dynamics in the euro area Bofondi, M., Carpinelli, L., and Sette, E. (2018). Credit supply during a sovereign debt crisis. Journal of the European Economic Association, 16(3):696–729.

15. Chetty, R., Guren, A., Manoli, D., and Weber, A. (2011). Are micro and macro labor supply elasticities consistent? a review of evidence on the intensive and extensive margins. American Economic Review Papers and Proceedings, 75:101–471.

16. Coeurdacier, N. and Rey, H. (2013). Home bias in open economy financial macroeconomic. Journal of Economic Literature, 51(1):63–115.

17. Coeurdacier, N., Kollmann, N., and Martin, R. (2007). International portfolios with supply, demand and redistributive shocks. NBER international Seminar on Macroeconomics 2007, pages 231–263.

18. Collard, F., Habib, M., and Rochet, J.-C. (2015). Sovereign debt sustainability in advanced economies. Journal of the European Economic Association, 13(3):381–420.

19. Corsetti, G., Kuester, K., Meier, A., and Mueller, G. J. (2013). Sovereign risk, fiscal policy, and macroeconomic stability. The Economic Journal, 123:99–132.

20. Corsetti, G., Kuester, K., Meier, A., and Mueller, G. J. (2014). Sovereign risk and belief-driven fluctuations in the euro area. Journal of Monetary Economics, 61(C):53–73.

21. de Grauwe, P. and Ji, Y. (2013). Self-fulfilling crises in the eurozone:an empirical test. Journal of International Money and Finance, 34:15–36.

22. De Marco, F. (2017). Bank lending and the european sovereign debt crisis. Journal of Financial and Quantitative Analysis, forthcoming.

23. Delatte, A.-L., Gex, M., and Lopez-Villavicencio, A. (2012). Has the cds market influenced the borrowing cost of european countries during the sovereign crisis? Journal of International Money and Finance, 31:481–497.

24. ECB (2012a). Euro area cross border financial flows. ECB Monthly Bulletin, September:105–118.
    Paper not yet in RePEc: Add citation now
    
25. ECB (2012b). Financial integration in europe. European Central Bank Report.
    Paper not yet in RePEc: Add citation now
    

26. Enders, Z., Kollmann, R., and Muller, G. (2011). Global banking and international business cycles. European Economic Review, 55:407–426.

27. Faia, E. (2017). Sovereign risk, bank funding and investors’ pessimism. Journal of Economic Dynamics and Control, 79:79–96.

28. Gali, J. and Monacelli, T. (2008). Optimal monetary and fiscal policy in a currency union. Journal of International Economics, 76:116–132.

29. Garcia-Cicco, J., Pancrazi, R., and Uribe, M. (2010). real business cycles in emerging countries? CEPII Working Paper Sovereign risk and asset market dynamics in the euro area American Economic Review, 100(5):2510–31.

30. Gould, J. (1968). Adjustment costs in the theory of investment of the firm. The Review of Economic Studies, 35:47–55.

31. Grammatikos, T. and Vermeulen, R. (2012). Transmission of the financial and sovereign debt crises to the emu: Stock prices, cds spreads and exchange rates. Journal of International Money and Finance, 31:517–533.

32. Greenwood, J., Hercowitz, Z., and gregory W. Huffman (1988). Investment, capacity utilization, and the real business cycle. American Economic Review, 78(3):402–417.

33. Guerrieri, L., Iacoviello, M., and Minetti, R. (2012). Banks, sovereign debt and the international transmission of business cycles. NBER International Seminar on Macroeconomics.

34. Jermann, U. and Quadrini, V. (2012). Macroeconomic effects of financial shocks. American Economic Review, 102:238–271.

35. Jochem, A. and Volz, U. (2011). Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors. Deutsche Bundesbank discussion paper. Series 1: Economic Studies, No 07.

36. Juessen, F., Linnemann, L., and Schabert, A. (2016). Default risk premia on government bonds in a quantitative macroeconomic model. Macroeconomic Dynamics, 20 (01):380–403.

37. Kim, S. J., Moshirian, F., and Wu, E. (2006). Evolution of international stock and bond market integration: Influence of the European Monetary Union. Journal of Banking and Finance, 30(5):1507–1534.

38. King, R. G., Plosser, C. I., and Rebelo, S. T. (1988). Production, growth and business cycles i. the basic neoclassical model. Journal of Monetary Economics, 21:195–232.

39. Lucas, R. E. (1967). Adjustment cost and the theory of supply. Journal of Political Economy, 75:321–334.

40. MaCurdy, T. E. (1981). An empirical model of labor supply in a life-cycle setting. Journal of Political Economy, 89 (6):1059–1085.

41. Neri, S. and Ropele, T. (2013). The macroeconomic effects of the sovereign debt crisis in the euro area. Banca d’Italia, mimeo.

42. Perego, E. and Vermeulen, W. (2016). Macro-economic determinants of european stock and government bond correlations: A tale of two regions. Journal of Empirical Finance, 37:214– 232.

43. Popov, A. and van Horen, N. (2015). Exporting sovereign stress: Evidence from syndicated bank lending during the euro area sovereign debt crisis. Review of Finance, 19:1825–1866.

44. Raffo, A. (2008). Net exports, consumption volatility and international business cycle models. Journal of International Economics, 75:14–29.

45. Roger, S. and Vitek, F. (2011). The global macroeconomic costs of raising bank capital adequacy CEPII Working Paper Sovereign risk and asset market dynamics in the euro area requirements. IMF Working Paper, no. 11/103.

46. Schmitt-Grohe, S. and Uribe, M. (2012). What’s news in business cycle. Econometrica, 80(6):2733–2764.
    Paper not yet in RePEc: Add citation now
    

47. Slovik, P. and Cournède, B. (2011). Macroeconomic impact of basel iii? OECD Economics Department Working Papers, No. 844, OECD Publishing.

48. Swanson, E. T. (2015). A macroeconomic model of equities and real, nominal, and defaultable debt. 2015 Meeting Papers 273, Society for Economic Dynamics.

49. Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1:15–29.

50. van der Kwaak, C. and van Wijnbergen, S. (2014). Financial fragility, sovereign default risk and the limits to commercial bank bail-outs. Journal of Economic Dynamics and Control, 43:218–240. CEPII Working Paper Sovereign risk and asset market dynamics in the euro area

1. How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300285.

   Full description at Econpapers || Download paper

2. Interconnectedness and Contagion Analysis: A Practical Framework. (2019). Xu, TengTeng ; Bricco ('Gieck'), Jana.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2019/220.

   Full description at Econpapers || Download paper

3. The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Lehnert, Thorsten ; Kräussl, Roman ; Kraussl, Roman.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:567.

   Full description at Econpapers || Download paper

4. Discount rate or cash flow contagion? Evidence from the recent financial crises. (2017). Jiang, Junhua.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:39:y:2017:i:pa:p:315-326.

   Full description at Econpapers || Download paper

5. The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37.

   Full description at Econpapers || Download paper

6. The equity-like behaviour of sovereign bonds. (2017). Varotto, Simone ; Dufour, Alfonso ; Stancu, Andrei.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

   Full description at Econpapers || Download paper

7. Bank-sovereign contagion in the Eurozone: A panel VAR Approach. (2017). Moratis, George ; Georgoutsos, Dimitris.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:48:y:2017:i:c:p:146-159.

   Full description at Econpapers || Download paper

8. Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. (2017). Cermeo, Rodolfo ; Ribeiro, Pedro Pires ; Curto, Jose Dias.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114.

   Full description at Econpapers || Download paper

9. Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Chatziantoniou, Ioannis ; Antonakakis, Nikolaos.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

   Full description at Econpapers || Download paper

10. Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef ; Kehlik, Toma ; Barunik, Jozef.
    In: Energy Economics.
    RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218.

    Full description at Econpapers || Download paper

11. Dealing with dealers: sovereign CDS comovements. (2017). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel.
    In: Working Papers.
    RePEc:bde:wpaper:1723.

    Full description at Econpapers || Download paper

12. Relation between regional uncertainty spillovers in the global banking system. (2017). Aste, Tomaso ; Tungsong, Sachapon ; Caccioli, Fabio.
    In: Papers.
    RePEc:arx:papers:1702.05944.

    Full description at Econpapers || Download paper

13. Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1603.07020.

    Full description at Econpapers || Download paper

14. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode. (2017). Santucci de Magistris, Paolo ; Ravazzolo, Francesco ; Natvik, Gisle ; Caporin, Massimiliano.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-25.

    Full description at Econpapers || Download paper

15. Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank.
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:79.

    Full description at Econpapers || Download paper

16. Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach. (2016). Bettendorf, Timo.
    In: Discussion Papers.
    RePEc:zbw:bubdps:422016.

    Full description at Econpapers || Download paper

17. Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160064.

    Full description at Econpapers || Download paper

18. “Debt-growth linkages in EMU across countries and time horizons”. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201610.

    Full description at Econpapers || Download paper

19. The behaviour of sovereign CDS and government bond in the Euro zone crisis. (2016). Ito, Takayasu.
    In: International Journal of Monetary Economics and Finance.
    RePEc:ids:ijmefi:v:9:y:2016:i:2:p:102-114.

    Full description at Econpapers || Download paper

20. The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?. (2016). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xix:y:2016:i:1:p:129-148.

    Full description at Econpapers || Download paper

21. The impact and the spillover effect of a sovereign rating announcement on the euro area CDS market. (2016). Gallo, Raffaele ; Drago, Danilo.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:264-286.

    Full description at Econpapers || Download paper

22. Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries. (2016). Sosvilla-Rivero, Simon ; Singh, Manish ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:63:y:2016:i:c:p:137-164.

    Full description at Econpapers || Download paper

23. Liquidity risk contagion in the interbank market. (2016). Urquhart, Andrew ; Eross, Andrea ; Wolfe, Simon.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:45:y:2016:i:c:p:142-155.

    Full description at Econpapers || Download paper

24. Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

    Full description at Econpapers || Download paper

25. Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:206-224.

    Full description at Econpapers || Download paper

26. Banks and sovereign risk: A granular view. (2016). Ohls, Jana ; Koetter, Michael ; Buch, Claudia.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:1-15.

    Full description at Econpapers || Download paper

27. A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

    Full description at Econpapers || Download paper

28. Exposing volatility spillovers: A comparative analysis based on vector autoregressive models. (2016). Philippas, Dionisis ; Dragomirescu-Gaina, Catalin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:302-305.

    Full description at Econpapers || Download paper

29. Bank fragility and contagion: Evidence from the bank CDS market. (2016). Casu, Barbara ; Ballester, Laura ; Gonzalez-Urteaga, Ana.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:394-416.

    Full description at Econpapers || Download paper

30. The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Lehnert, Thorsten ; Kräussl, Roman ; Kraussl, Roman.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

    Full description at Econpapers || Download paper

31. Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161898.

    Full description at Econpapers || Download paper

32. Banks and Sovereign Risk: A Granular View. (2015). Ohls, Jana ; Koetter, Michael ; Buch, Claudia.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-12-15.

    Full description at Econpapers || Download paper

33. EUROPEAN EQUITY MARKET RETURN, VOLATILITY AND LIQUIDITY SPILLOVER DYNAMICS DURING THE EUROZONE DEBT CRISIS. (2015). Dumitrescu, Sorin.
    In: Studii Financiare (Financial Studies).
    RePEc:vls:finstu:v:19:y:2015:i:2:p:30-50.

    Full description at Econpapers || Download paper

34. Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index. (2015). Lee, Yen-Hsien ; Huang, Ya-Ling ; Liao, Ting-Huei.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:178-189.

    Full description at Econpapers || Download paper

35. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201508.

    Full description at Econpapers || Download paper

36. “Sovereigns and banks in the euro area: a tale of two crises”. (2015). Sosvilla-Rivero, Simon ; Singh, Manish ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201504.

    Full description at Econpapers || Download paper

37. Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Fong, Tom ; Zheng, Xiao-Fen ; Hui, Cho-Hoi ; Lo, Chi-Fai.
    In: Working Papers.
    RePEc:hkm:wpaper:182015.

    Full description at Econpapers || Download paper

38. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:337-352.

    Full description at Econpapers || Download paper

39. ECB policy and Eurozone fragility: Was De Grauwe right?. (2015). Fuertes, Ana-Maria ; Saka, Orkun ; Kalotychou, Elena.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:54:y:2015:i:c:p:168-185.

    Full description at Econpapers || Download paper

40. Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014. (2015). Suh, Hyunduk ; Kang, Hyunju.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:97-115.

    Full description at Econpapers || Download paper

41. Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers.
    RePEc:aee:wpaper:1502.

    Full description at Econpapers || Download paper

42. Systemic risk spillovers in the European banking and sovereign network. (2014). Peltonen, Tuomas ; Hautsch, Nikolaus ; Schienle, Melanie ; Betz, Frank.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:467.

    Full description at Econpapers || Download paper

43. Credit Default Swaps: A Survey. (2014). Augustin, Patrick ; Wang, Sarah Qian ; Subrahmanyam, Marti G. ; Tang, Dragon Yongjun.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000040.

    Full description at Econpapers || Download paper

44. ECB Policy and Eurozone Fragility: Was De Grauwe Right?. (2014). Fuertes, Ana-Maria ; Saka, Orkun ; Kalotychou, Elena.
    In: CEPS Papers.
    RePEc:eps:cepswp:9414.

    Full description at Econpapers || Download paper

45. The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion. (2014). rharrabti, houda ; Allegret, Jean-Pierre.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2014-24.

    Full description at Econpapers || Download paper

46. Spillovers and contagion in the sovereign CDS market. (2013). Adam, Micha.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604.

    Full description at Econpapers || Download paper

47. The pricing of sovereign risk and contagion during the European sovereign debt crisis. (2013). Fratzscher, Marcel ; Beirne, John.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131625.

    Full description at Econpapers || Download paper

48. Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR. (2013). Kok, Christoffer ; Gross, Marco ; Sorensen, Christoffer Kok.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131570.

    Full description at Econpapers || Download paper

49. Spillover in Euro Area Sovereign Bond Markets. (2013). Cronin, David ; Conefrey, Thomas.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:05/rt/13.

    Full description at Econpapers || Download paper

50. The theoretical roots of EMU institutions and policies during the crisis. (). acocella, nicola.
    In: Working Papers.
    RePEc:rsq:wpaper:26/14.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 11:15:07 || Missing content? Let us know