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Instituto Superior de Economia e Gestão (ISEG)


ISEG 2S SEMINARS | Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads

Em 01-03-2013 às 11:30 / Quelhas 6 | Piso 3 | Sala Delta

Speaker: Agatha Murgoci
Copenhagen Business School
Presentation: Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads


We show thatnancial linkages across borders are priced in the CDS markets. We construct a measure of the foreign exposure risk of a country's banking system using detailed information on the actual composition of its foreign exposures. Our measure helps explain CDS premia of banks. Implicit and explicit guarantees extended to a country's banking system in turn aect the CDS premia of the sovereign.
As a consequence, foreign exposures of banks impact the dynamics of sovereign CDS spreads. Another measure including both foreign and domestic assets of the banks is highly sign cant in explaining bank CDS spreads even before the onset of the crisis.

This seminars series is organized by Margarida Abreu (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

All speakers are available to meet faculty at ISEG during the afternoon after the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.