dc.contributor.author | Caporin, Massimiliano | |
dc.contributor.author | Natvik, Gisle James | |
dc.contributor.author | Ravazzolo, Francesco | |
dc.contributor.author | Santucci de Magistris, Paolo | |
dc.date.accessioned | 2019-12-19T12:40:34Z | |
dc.date.available | 2019-12-19T12:40:34Z | |
dc.date.created | 2019-08-26T12:40:36Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Journal of Empirical Finance. 2019, 53, 181-196. | nb_NO |
dc.identifier.issn | 0927-5398 | |
dc.identifier.uri | http://hdl.handle.net/11250/2634148 | |
dc.description.abstract | We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We find that the correlation between bank and sovereign credit default swap (CDS) rates changed with these events. Following the non-bailout events, the sensitivity to external shocks, proxied by CDS rates on the European banking sector, declined both for Danske Bank and for Danish sovereign debt. After Danske Bank’s recapitalization, its exposure to the European banking sector reappeared while that did not happen for Danish sovereign debt. The decoupling between CDS rates on sovereign and private bank debt indicates that the vicious feedback loop between bank and sovereign risk weakened after the non-bailout policies were introduced. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.title | The bank-sovereign nexus: Evidence from a non-bailout episode | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.rights.holder | Copyright policy of Elsevier, the publisher of this journal. The author retains the right to post the accepted author manuscript on open web sites operated by author or author's institution for scholarly purposes, with an embargo period of 0-36 months after first view online. | nb_NO |
dc.source.pagenumber | 181-196 | nb_NO |
dc.source.volume | 53 | nb_NO |
dc.source.journal | Journal of Empirical Finance | nb_NO |
dc.source.issue | September | nb_NO |
dc.identifier.doi | 10.1016/j.jempfin.2019.07.001 | |
dc.identifier.cristin | 1718699 | |
cristin.unitcode | 158,3,0,0 | |
cristin.unitname | Institutt for samfunnsøkonomi | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |