Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana

IF 0.9 4区管理学 Q3 BUSINESS, FINANCE Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad Pub Date : 2014-10-02 DOI:10.1080/02102412.2014.966230

Laura Ballester Miquel, Ana González-Urteaga, David Tudela Ferrándiz

引用次数: 1

Abstract

El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia de transmisión del riesgo de crédito entre las entidades financieras europeas de la Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y (iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras? Los resultados indican un cambio significativo en la transmisión del riesgo de crédito con el estallido de la crisis subprime, con un efecto notable proveniente de los bancos de la Eurozona hacia los que no pertenecen a dicha zona.

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欧洲银行业的信用风险传递:次贷危机与主权债务

本工作的目标是深入分析信用风险的传播,csd spreads近似,欧洲银行业在2006 - 2012年期间,试图解决多种问题:(i)¿存在证据之间的信用风险传播欧洲欧元区金融机构和不属于该地区?(ii)这种传输是双向的还是单向的?(iii)具体来说，哪些国家领导了这种传播?，以及(iv)最近的金融危机如何影响这种转移?结果表明，随着次贷危机的爆发，信贷风险的传递发生了显著变化，欧元区银行对欧元区以外的银行产生了显著影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad BUSINESS, FINANCE-

CiteScore

2.10

自引率

10.00%

发文量

期刊介绍： The Spanish Journal of Finance and Accounting ( SJFA) is a quarterly academic journal founded in 1972. It aims to publish high quality research papers in accounting and finance. The scope of SJFA covers theoretical and empirical analysis relating to financial markets and institutions, corporate finance, market microstructure, corporate governance, internal and management accounting and a wide spectrum of financial performance and financial reporting, including auditing and public accounting. The Journal welcomes both theoretical and empirical contributions, and in particular, theoretical papers that yield novel testable implications and empirical papers that are theoretically well motivated. The journal is not a suitable outlet for highly abstract mathematical papers or empirical papers with inadequate theoretical motivation. All manuscripts that meet these editorial guidelines are blind reviewed by external reviewers. SJFA sponsors a periodic conference in which selected papers under review are presented and discussed by additional reviewers in order to increase the quality of the papers published in the journal. If accepted for publication, these selected articles are published in the Journal with a special distinction. The Journal welcomes replies and discussions to both published and forthcoming articles. These contributions, if accepted by the editors, may eventually be published jointly with a reply or comment by the authors of the original paper.

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