- Author
- Martien Lamers (UGent) , Thomas Present (UGent) , Nicolas Soenen (UGent) and Rudi Vander Vennet (UGent)
- Organization
- Project
- Abstract
- We investigate the effectiveness of the Bank Recovery and Resolution Directive (BRRD) in mitigating the bank-sovereign nexus in the Euro Area. Using CDS spreads to measure bank and sovereign credit risk and a DCC-MIDAS model capturing the long-term component of bank-sovereign interconnectedness, we document that the dynamic correlation between banks and sovereigns has decreased in Euro Area countries since the introduction of the BRRD. Panel data analysis reveals that the decline in interconnectedness is not driven by the banks' capital adequacy, size or holdings of domestic sovereign securities.
- Keywords
- BRRD, bank-sovereign nexus, CDS spread, dynamic correlation, DCC-MIDAS, MODEL
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8746425
- MLA
- Lamers, Martien, et al. “BRRD Credibility and the Bank-Sovereign Nexus.” APPLIED ECONOMICS LETTERS, vol. 30, no. 10, 2023, pp. 1308–13, doi:10.1080/13504851.2022.2052007.
- APA
- Lamers, M., Present, T., Soenen, N., & Vander Vennet, R. (2023). BRRD credibility and the bank-sovereign nexus. APPLIED ECONOMICS LETTERS, 30(10), 1308–1313. https://doi.org/10.1080/13504851.2022.2052007
- Chicago author-date
- Lamers, Martien, Thomas Present, Nicolas Soenen, and Rudi Vander Vennet. 2023. “BRRD Credibility and the Bank-Sovereign Nexus.” APPLIED ECONOMICS LETTERS 30 (10): 1308–13. https://doi.org/10.1080/13504851.2022.2052007.
- Chicago author-date (all authors)
- Lamers, Martien, Thomas Present, Nicolas Soenen, and Rudi Vander Vennet. 2023. “BRRD Credibility and the Bank-Sovereign Nexus.” APPLIED ECONOMICS LETTERS 30 (10): 1308–1313. doi:10.1080/13504851.2022.2052007.
- Vancouver
- 1.Lamers M, Present T, Soenen N, Vander Vennet R. BRRD credibility and the bank-sovereign nexus. APPLIED ECONOMICS LETTERS. 2023;30(10):1308–13.
- IEEE
- [1]M. Lamers, T. Present, N. Soenen, and R. Vander Vennet, “BRRD credibility and the bank-sovereign nexus,” APPLIED ECONOMICS LETTERS, vol. 30, no. 10, pp. 1308–1313, 2023.
@article{8746425,
abstract = {{We investigate the effectiveness of the Bank Recovery and Resolution Directive (BRRD) in mitigating the bank-sovereign nexus in the Euro Area. Using CDS spreads to measure bank and sovereign credit risk and a DCC-MIDAS model capturing the long-term component of bank-sovereign interconnectedness, we document that the dynamic correlation between banks and sovereigns has decreased in Euro Area countries since the introduction of the BRRD. Panel data analysis reveals that the decline in interconnectedness is not driven by the banks' capital adequacy, size or holdings of domestic sovereign securities.}},
author = {{Lamers, Martien and Present, Thomas and Soenen, Nicolas and Vander Vennet, Rudi}},
issn = {{1350-4851}},
journal = {{APPLIED ECONOMICS LETTERS}},
keywords = {{BRRD,bank-sovereign nexus,CDS spread,dynamic correlation,DCC-MIDAS,MODEL}},
language = {{eng}},
number = {{10}},
pages = {{1308--1313}},
title = {{BRRD credibility and the bank-sovereign nexus}},
url = {{http://doi.org/10.1080/13504851.2022.2052007}},
volume = {{30}},
year = {{2023}},
}
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