International Spillovers of European Bank Bailouts & Sovereign Risk

Our analysis focuses on the following 10 European countries: Austria, Belgium, France, Germany, Ireland, Italy, the Netherlands, Portugal, Spain and the United Kingdom

Our models are estimated using weekly data over the period January 2006 to July 2015 for a total of 498 weekly observations

The following information is included for each country:

  • The 5-year sovereign credit default swap (CDS) spread
  • The aggregate 5-year financial sector CDS spread constructed by Greenwood-Nimmo, Huang and Nguyen (2017)
  • The term spread on government bonds
  • The 3-month interbank-treasury spread
    •

    The model also includes several global control variables:

  • The equity variance risk premium for the S&P 500
  • The treasury variance risk premium for US 10-year treasuries
  • The 5-year US sovereign CDS spread
  • The aggregate 5-year US financial sector CDS spread
  • The term premium on US government bonds
  • The 3-month interbank-treasury spread for the US, which is commonly called the TED spread
    •

    We convert the data from daily to weekly frequency using the Wednesday observation for each week to avoid any possible weekend effects

    A detailed description of the construction and properties of the dataset can be found in the the paper

    Much of the data used in the model is proprietary and the associated licensing restrictions prevent us from sharing the dataset

    All information is provided 'as is' without warranty or guarantee. Use of any information from this website is at your own risk.
    Content created by Matthew Greenwood-Nimmo. Last updated December 2017.