De Bruyckere, Valerie; Gerhardt, Maria; Schepens, Glenn; … - In: Journal of Banking & Finance 37 (2013) 12, pp. 4793-4809
This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common factors, using CDS spreads at the bank and at the...