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NUEVO ARTÍCULO CIENTÍFICO

12/08/2020

Lidija Lovreta & Joaquín López Pascual  

Structural breaks in the interaction between bank and sovereign default risk


The recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk and showed that major shocks may lead to a self-reinforcing negative spiral. In this paper, we analyse the pattern of interaction between bank and sovereign default risk by endogenously estimating the timing of structural breaks. 

Springer link: 

https://link.springer.com/article/10.1007/s13209-020-00219-z 

 

 


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