Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the … functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign … components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv …