Lidija Lovreta & Joaquín López Pascual(2020) «Structural breaks in the interaction between bank and sovereign default risk» SERIEs Journal of the Spanish Economic Association.
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.
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