Bank fragility and contagion: Evidence from the CDS market
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Bank fragility and contagion: Evidence from the CDS market

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Bank fragility and contagion: Evidence from the CDS market

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dc.contributor.author Ballester Miquel, Laura
dc.contributor.author Casu, Barbara
dc.contributor.author González-Urteaga, Ana
dc.date.accessioned 2018-04-12T14:39:21Z
dc.date.available 2018-04-12T14:39:21Z
dc.date.issued 2016
dc.identifier.uri http://hdl.handle.net/10550/65620
dc.description.abstract Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic contagion (linked to global factors), and idiosyncratic contagion (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Whereas systematic contagion was the most important factor during the global financial crisis, the idiosyncratic component became more relevant during the eurozone crisis. Looking at directional spillovers, US banks were net transmitters of systematic contagion during 2007-2009, with EU banks being net receivers. During the eurozone crisis, we find that banks in euro-peripheral countries became net transmitters of idiosyncratic contagion whereas banks in euro-core countries became net transmitters of systematic contagion. Finally, in the period 2009-2013, US banks did not receive instability from eurozone banks.
dc.language.iso eng
dc.relation.ispartof Journal Of Empirical Finance, 2016, num. 39, p. 394-416
dc.rights.uri info:eu-repo/semantics/openAccess
dc.source Ballester Miquel, Laura Casu, Barbara González-Urteaga, Ana 2016 Bank fragility and contagion: Evidence from the CDS market Journal Of Empirical Finance 39 394 416
dc.subject Economia
dc.title Bank fragility and contagion: Evidence from the CDS market
dc.type info:eu-repo/semantics/article
dc.date.updated 2018-04-12T14:39:21Z
dc.identifier.doi https://doi.org/10.1016/j.jempfin.2016.01.011
dc.identifier.idgrec 110888

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