The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009

被引：79
|
作者：
Ejsing, Jacob [2 ]
Lemke, Wolfgang [1 ]
机构：
[1] European Cent Bank, Kaiserstr 29, D-60311 Frankfurt, Germany
[2] Govt Debt Management, Danmarks Nationalbank, DK-1093 Copenhagen K, Denmark
来源：
ECONOMICS LETTERS | 2011年 / 110卷 / 01期
关键词：
Financial crisis; Risk transfer; Credit default swaps; Sovereign debt;
D O I：
10.1016/j.econlet.2010.10.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In autumn 2008, euro area governments announced comprehensive rescue packages for banks. This induced decreasing bank and increasing government credit spreads. Moreover, the sensitivity of perceived sovereign credit quality to further crisis aggravations increased, and vice versa for banks. (C) 2010 Elsevier B.V. All rights reserved.
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页码：28 / 31
页数：4
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