Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

DOI10.1016/j.econlet.2021.109983zbMath1471.91604OpenAlexW3181236462MaRDI QIDQ1984486

Hans-Peter Burghof, Stephan Bales

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109983

zbMATH Keywords

interest rateseconomic policy uncertaintyDCC-GARCHsovereign-bank nexus

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites Work

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