Banks and sovereigns: an econometric analysis of an entangled relationship

Detalhes bibliográficos
Autor(a) principal: Mendes, Ana Rita Semião
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/15368
Resumo: In this discussion OLS regressions are used to study the factors that influence sovereign yield spreads and domestic bank indeces for a set of euro area countries. The results show that common factors explain changes in bank indeces better than in the yields. Moreover, although there is some country differentiation, a common pattern among all is visible. A contemporary spillover effect between banks and sovereigns emerged after bank bailouts and became stronger with the burst of the sovereign debt crisis. The vicious cycle between the two has contributed to the escalation of spreads and to painful austerity measures.
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spelling Banks and sovereigns: an econometric analysis of an entangled relationshipBanking crisisEuropean debt crisisFinancial turmoilSovereign-bank feedback loopIn this discussion OLS regressions are used to study the factors that influence sovereign yield spreads and domestic bank indeces for a set of euro area countries. The results show that common factors explain changes in bank indeces better than in the yields. Moreover, although there is some country differentiation, a common pattern among all is visible. A contemporary spillover effect between banks and sovereigns emerged after bank bailouts and became stronger with the burst of the sovereign debt crisis. The vicious cycle between the two has contributed to the escalation of spreads and to painful austerity measures.UNL - NSBERodrigues, Paulo Manuel MarquesRUNMendes, Ana Rita Semião2015-08-26T09:11:16Z2015-012015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15368TID:201476878enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:51:17Zoai:run.unl.pt:10362/15368Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:28.784816Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Banks and sovereigns: an econometric analysis of an entangled relationship
title Banks and sovereigns: an econometric analysis of an entangled relationship
spellingShingle Banks and sovereigns: an econometric analysis of an entangled relationship
Mendes, Ana Rita Semião
Banking crisis
European debt crisis
Financial turmoil
Sovereign-bank feedback loop
title_short Banks and sovereigns: an econometric analysis of an entangled relationship
title_full Banks and sovereigns: an econometric analysis of an entangled relationship
title_fullStr Banks and sovereigns: an econometric analysis of an entangled relationship
title_full_unstemmed Banks and sovereigns: an econometric analysis of an entangled relationship
title_sort Banks and sovereigns: an econometric analysis of an entangled relationship
author Mendes, Ana Rita Semião
author_facet Mendes, Ana Rita Semião
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Mendes, Ana Rita Semião
dc.subject.por.fl_str_mv Banking crisis
European debt crisis
Financial turmoil
Sovereign-bank feedback loop
topic Banking crisis
European debt crisis
Financial turmoil
Sovereign-bank feedback loop
description In this discussion OLS regressions are used to study the factors that influence sovereign yield spreads and domestic bank indeces for a set of euro area countries. The results show that common factors explain changes in bank indeces better than in the yields. Moreover, although there is some country differentiation, a common pattern among all is visible. A contemporary spillover effect between banks and sovereigns emerged after bank bailouts and became stronger with the burst of the sovereign debt crisis. The vicious cycle between the two has contributed to the escalation of spreads and to painful austerity measures.
publishDate 2015
dc.date.none.fl_str_mv 2015-08-26T09:11:16Z
2015-01
2015-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/15368
TID:201476878
url http://hdl.handle.net/10362/15368
identifier_str_mv TID:201476878
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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