ARNOLD, I.J.M.; LEMMEN, J.J.G. - In: Review of Business and Economics XLVI (2001) 1, pp. 23-38
This paper examines the vulnerability of banks in EMU countries to shocks to default risk premiums on public debt. This … public debt of EMU members, and (3) the degree of actual geographical diversification of public debt holdings by banks. We … mainly domestic public debt. Next, we calculate this effect if banks diversify their investments in public debt across EMU …