@unpublished{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 type = {unpublished},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},
 id = {86148fcd-7178-311f-b3e6-a3c5143b34ec},
 created = {2016-10-31T11:03:09.000Z},
 file_attached = {false},
 profile_id = {8856f0a8-e934-3b54-83b3-1dc0f138e432},
 group_id = {bd0f1172-1660-3fe3-b7d0-9f2d0b4051ad},
 last_modified = {2017-03-14T12:29:36.496Z},
 tags = {DOLFINS_T1.3,DOLFINS_T2.1,DOLFINS_T2.4,DOLFINS_WP1,DOLFINS_WP2},
 read = {false},
 starred = {false},
 authored = {false},
 confirmed = {true},
 hidden = {false},
 citation_key = {Popoyan},
 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 bibtype = {unpublished},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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