International Spillovers of European Bank Bailouts & Sovereign Risk

This website provides additional interactive resources to accompany the research paper On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks by Matthew Greenwood-Nimmo, Viet Nguyen and Eliza Wu

The paper is part of an Australian Research Council funded project on credit risk transmission in the global economy

The paper combines sign-restricted VAR models with techniques from the empirical network modelling literature to measure the international transmission of structurally-identified financial sector bailout and sovereign risk shocks

Under the Network Visualisations tab we provide several graphical illustrations of the cross-border pattern of credit risk spillovers in Europe between January 2006 and July 2015

  • Pairwise impulse response functions showing how bailout shocks and sovereign risk shocks transmit from one country to another
  • Spillover tables showing the overall pattern of spillovers for all ten countries together

    Under the Methodology tab we provide a sketch of the estimation methodology

    Under the Dataset tab we describe the data used to construct the network

    Under the About Us tab you can find links to our instutional and personal websites

    Please note that this is a preliminary working version of the website and its content is subject to change without notice