Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

DOI10.1016/J.ECONLET.2021.109983MaRDI QIDQ1984486zbMATH OpenOpenAlexFDO

Authors Stephan Bales, Hans-Peter Burghof

Publication date 16 September 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109983

zbMATH Keywords

DCC-GARCHeconomic policy uncertaintyinterest ratessovereign-bank nexus

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• Analysis of financial time series
• Introductory econometrics for finance

Cited in

(8)

• Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk
• Political elections uncertainty and earnings management: does firm size really matter?
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Bank Exposures and Sovereign Stress Transmission*
• GOVERNMENT DEBT AND BANKING FRAGILITY: THE SPREADING OF STRATEGIC UNCERTAINTY
• Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
• Time-varying volatility, default, and the sovereign risk premium
• Do sovereign credit ratings matter for corporate credit ratings?

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