Bank:sovereign ties against interbank market integration: the case of the Italian segment. Saroyan, S. & Popoyan, L. Working Paper LEM 2017-02, 2017. Paper abstract bibtex This paper investigates interbank market fragmentation that results from the bank-sovereign risk nexus. We focus on the Italian market fragmentation during the post-Lehman and sovereign debt crisis era. By using Italian bank and GIPSI country CDS spread changes, we suggest a new measure of sovereign/bank spillovers, based on partial correlations. Then, we examine the relationship between the sovereign-to-banks contagion risk variable and market fragmentation in rate on the e-MID interbank market data. We find that the bank-sovereign nexus is a significant source of fragmentation during the most acute phase of the sovereign debt crisis. Our findings suggest that even if the home country/bank ties impact interbank market integration seriously, the risk from other distressed countries is not negligible.
@article{popoyan2017bank,
abstract = {This paper investigates interbank market fragmentation that results from the bank-sovereign risk nexus. We focus on the Italian market fragmentation during the post-Lehman and sovereign debt crisis era. By using Italian bank and GIPSI country CDS spread changes, we suggest a new measure of sovereign/bank spillovers, based on partial correlations. Then, we examine the relationship between the sovereign-to-banks contagion risk variable and market fragmentation in rate on the e-MID interbank market data. We find that the bank-sovereign nexus is a significant source of fragmentation during the most acute phase of the sovereign debt crisis. Our findings suggest that even if the home country/bank ties impact interbank market integration seriously, the risk from other distressed countries is not negligible.},
author = {Saroyan, Susanna and Popoyan, Lilit},
journal = {Working Paper LEM 2017-02},
keywords = {DOLFINS{\_}T1.3,DOLFINS{\_}T2.1,DOLFINS{\_}T2.4,DOLFINS{\_}WP1,DOLFINS{\_}WP2,DOLFINS{\_}working{\_}paper},
mendeley-tags = {DOLFINS{\_}T1.3,DOLFINS{\_}T2.1,DOLFINS{\_}T2.4,DOLFINS{\_}WP1,DOLFINS{\_}WP2,DOLFINS{\_}working{\_}paper},
title = {{Bank:sovereign ties against interbank market integration: the case of the Italian segment}},
url = {http://www.lem.sssup.it/WPLem/files/2017-02.pdf},
year = {2017}
}
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