The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe

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• 作者：Jean-Pierre Allegret ; ^{jallegret@u-paris10.fr} ; Hé ; lè ; ne Raymond ^{helene.raymond-feingold@u-paris10.fr} ; Houda Rharrabti ^{houdajad@hotmail.com}
• 关键词：Smooth transition regression model ; European sovereign debt crisis ; Banks&rsquo ; equity returns ; Contagion ; Interdependence
• 刊名：Journal of Banking & Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：74
• 期：Complete
• 页码：24-37
• 全文大小：563 K
• 卷排序：74

文摘

This paper analyzes the influence of the recent European sovereign debt crisis on banks’ equity returns for 15 countries. Our data span the period December 14th 2007 - March 8th 2013 that encompasses several episodes of economic and financial turmoil since the collapse of the subprime credit market. Our contribution to the literature is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second, we adopt a Smooth Transition Regression (STR) framework that allows for an endogenous definition of crisis periods and captures the changes in parameters associated with shift contagion. We find that the negative impact of the European sovereign debt crisis on banks’ equity returns has been mostly confined to European banks, whereas U.S. banks appear to be unharmed by its direct impact and may even have benefited from it. Besides, we find some evidence of shift contagion across Europe.