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dc.contributor.authorDurante F
dc.contributor.authorFoscolo E
dc.contributor.authorWeissensteiner A
dc.contributor.editor
dc.date2017-07-18T00:00:00Z
dc.date.accessioned2017-11-17T09:11:45Z
dc.date.available2017-11-17T09:11:45Z
dc.date.issued2017
dc.identifier.issn2225-1146
dc.identifier.urihttp://dx.doi.org/10.3390/econometrics5020023
dc.identifier.urihttp://www.mdpi.com/2225-1146/5/2/23/htm
dc.identifier.urihttp://hdl.handle.net/10863/3949
dc.description.abstractWe analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003–2015. In a first step, we find that the Spearman’s rank correlation between the yield spread and the Italian banking system changed significantly after September 2008. According to this finding, we split the time window in two sub-periods. While we show that the dependence between the banking industry and changes in the yield spread increased significantly in the second time interval, we find no contagion effects from changes in the yield spread to returns of the banking system.en_US
dc.language.isoenen_US
dc.rightsCreative Commons Attribution License
dc.titleDependence between Stock Returns of Italian Banks and the Sovereign Risken_US
dc.typeArticleen_US
dc.date.updated2017-07-31T10:16:37Z
dc.publication.title
dc.language.isiEN-GB
dc.journal.titleEconometrics
dc.description.fulltextopenen_US


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