Dutch paper looks at sovereign bank interdependencies
Researchers apply correlation between sovereign and bank credit default swaps
A working paper published by the Netherlands Bank looks at possible interpendencies between sovereign states and commercial banks.
In Hazardous tango: Sovereign bank interdependencies across countries and time, the authors use "a market measure of interdependency – the correlation between sovereign and bank credit default swaps (CDS)". They carry out regressions for this measure against "fundamental indicators of interlinkages and risk" for a data set of 65 banks from 23 countries, running from
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