Bank:sovereign ties against interbank market integration: the case of the Italian segment. Susanna, S. & Popoyan, L. 2017. Website 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.
@unpublished{
title = {Bank:sovereign ties against interbank market integration: the case of the Italian segment},
type = {unpublished},
year = {2017},
source = {LEM Working Paper Series 2017/02},
websites = {http://www.lem.sssup.it/WPLem/files/2017-02.pdf},
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last_modified = {2017-03-14T12:29:36.496Z},
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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.},
bibtype = {unpublished},
author = {Susanna, Saroyan and Popoyan, Lilit}
}
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