ECB paper proposes model for assessing European sovereign and bank spillovers
A working paper published by the ECB yesterday proposes a model for identifying "excessive spillovers" between European banking sectors and sovereigns.
The paper, The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil by Adrian Alter and Andreas Beyer, uses a vector autoregressive model of daily credit default swap spread changes to quantify spillovers between sovereign credit markets and banks in the eurozone.
The authors use a "rolling-window" estimation technique to
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