Boumparis, Periklis; Milas, Costas; Panagiotidis, Theodore - 2021
banking credit risk by identifying a two-way relationship between non-performing loans (NPLs) and sovereign ratings …This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely … multivariate Panel Vector Autoregressive (PVAR) framework. We reveal another channel of interconnection between sovereign and …