Bank/Sovereign Risk Spillovers in the European Debt Crisis

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this period covers various stages of the banking and sovereign crisis, it o¤ers a fertile ground to analyze bank/sovereign risk spillovers. We de…ne contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of contagion by analyzing bank-speci…c as well as country-speci…c variables and their interaction. We provide empirical evidence that various contagion channels are at work, including a strong home bias in bank bond portfolios, using the EBA’s disclosure of sovereign exposures of banks. We …nd that banks with a weak capital and/or funding position are particularly vulnerable to risk spillovers. At the country level, the debt ratio is the most important driver of contagion. Keywords: Contagion, bank risk, sovereign risk, bank business models, bank regulation, sovereign debt crisis JEL Classi…cations: G01, G21, G28,H6 Ghent University, Department of Financial Economics, Woodrow Wilsonplein 5D, Ghent, Belgium. Authors’ e-mail addresses: valerie.debruyckere@ugent.be, maria.gerhardt@ugent.be, glenn.schepens@ugent.be and rudi.vandervennet@ugent.be. The authors gratefully acknowledge …nancial support from the National Bank of Belgium. Valerie De Bruyckere acknowledges support from the Fund for Scienti…c Research (Flanders) as an FWO aspirant. Glenn Schepens acknowledges support from the Fund for Scienti…c Research (Flanders) under FWO project G.0028.08N. Financial support from the Hercules Foundation is gratefully acknowledged.

[1]  Stan Maes,et al.  Modeling the Term Structure of Interest Rates: Where Do We Stand? , 2003 .

[2]  Marcello Pericoli,et al.  A Primer on Financial Contagion , 2003 .

[3]  Jacques-François Thisse,et al.  Verti-Zontal Differentiation in Monopolistic Competition , 2011 .

[4]  H. Vandenbussche,et al.  Trade with China and Skill Upgrading: Evidence from Belgian Firm Level Data , 2009 .

[5]  Stijn Ferrari.  Discriminatory Fees, Coordination and Investment in Shared ATM Networks , 2009 .

[6]  G. Peersman,et al.  Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area , 2008 .

[7]  Olivier J. Blanchard,et al.  A New Keynesian Model with Unemployment , 2006 .

[8]  Barry Eichengreen,et al.  What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? , 1998 .

[9]  J. Annaert,et al.  What Determines Euro Area Bank CDS Spreads? , 2010 .

[10]  A. Van Landschoot,et al.  Determinants of Euro Term Structure of Credit Spreads , 2004, SSRN Electronic Journal.

[11]  Quentin Wibaut.  Politique monetaire et prix des actifs: le cas des Etats-Unis , 2000 .

[12]  Philippe Moës.  Multivariate Structural Time Series Models with Dual Cycles: Implications for Measurement of Output Gap and Potential Growth , 2008 .

[13]  C. V. Nieuwenhuyze,et al.  Do Survey Indicators Let Us See the Business Cycle? A Frequency Decomposition , 2008 .

[14]  Giovanni Veronese,et al.  Price Setting in the Euro Area: Some Stylized Facts from Individual Consumer Price Data , 2005, SSRN Electronic Journal.

[15]  Leo Sleuwaegen Vlerick.  Internationalization strategy and performance of small and medium sized enterprises , 2000 .

[16]  F. Rycx,et al.  Inter-industry Wage Differentials: How Much Does Rent Sharing Matter? , 2009, SSRN Electronic Journal.

[17]  Michele Cincera,et al.  Financing Constraints, Fixed Capital and R&D Investment Decisions of Belgian Firms , 2002 .

[18]  Joachim G. Keller.  Agency Problems in Structured Finance - A Case Study of European CLOs , 2008 .

[19]  Inessa Love,et al.  Investment, Protection, Ownership, and the Cost of Capital , 2000 .

[20]  G.J.C.M. van Gastel,et al.  «De autonijverheid in België: Het belang van het toeleveringsnetwerk rond de assemblage van personenauto's» , 2003 .

[21]  François Coppens,et al.  Indirect Effects - A Formal Definition and Degrees of Dependency as an Alternative to Technical Coefficients , 2005 .

[22]  Frédéric Lagneaux,et al.  Economic Importance of the Belgian Ports: Flemish Maritime Ports and Liège Port Complex - Report 2005 , 2007 .

[23]  F. Rycx,et al.  Rent-sharing under Different Bargaining Regimes: Evidence from Linked Employer-Employee Data , 2008 .

[24]  Yener Altunbaş,et al.  Bank Risk During the Financial Crisis: Do Business Models Matter? , 2011, SSRN Electronic Journal.

[25]  G. Peersman,et al.  Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model , 2012 .

[26]  J. Boeckx.  Estimating Monetary Policy Reaction Functions: A Discrete Choice Approach , 2011 .

[27]  François Coppens,et al.  The Single European Electricity Market: A Long Road to Convergence , 2006 .

[28]  René M. Stulz,et al.  The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? , 2011 .

[29]  Ferre De Graeve,et al.  The Determinants of Pass-Through of Market Conditions to Bank Retail Interest Rates in Belgium , 2004 .

[30]  Harald Stahl,et al.  The Pricing Behaviour of Firms in the Euro Area: New Survey Evidence , 2005, SSRN Electronic Journal.

[31]  C. Fuss,et al.  The Impact of Uncertainty on Investment Plans , 2002 .

[32]  Yishay Yafeh,et al.  Emerging Market Spreads: Then Versus Now , 2000, SSRN Electronic Journal.

[33]  K. Singleton,et al.  How Sovereign is Sovereign Credit Risk? , 2007 .

[34]  Gerdie Everaert,et al.  Measuring Inflation Persistence: A Structural Time Series Approach , 2005, SSRN Electronic Journal.

[35]  Riccardo Cristadoro,et al.  Short-Term Forecasting of GDP Using Large Monthly Datasets – A Pseudo Real-Time Forecast Evaluation Exercise , 2008 .

[36]  O. Issing.  The Development of Monetary Policy in the 20th Century – Some Reflections , 2010 .

[37]  Nancy Masschelein.  Monitoring Pro-Cyclicality under the Capital Requirements Directive: Preliminary Concepts for Developing a Framework , 2007 .

[38]  Bruno Eugène,et al.  The Efficiency Frontier as a Method for Gauging the Performance of Public Expenditure: A Belgian Case Study , 2008 .

[39]  Patrick J. G. Van Cayseele,et al.  Financial Consolidation and Liquidity: Prudential Regulation And/Or Competition Policy? , 2004 .

[40]  Georges Hübner,et al.  NATIONAL BANK OF BELGIUM WORKING PAPERS-RESEARCH SERIES DEVELOPMENT PATH AND CAPITAL STRUCTURE OF BELGIAN BIOTECHNOLOGY FIRMS , 2002 .

[41]  Salvador Barrios,et al.  Determinants of intra-euro area government bond spreads during the financial crisis , 2009 .

[42]  E. Dhyne,et al.  Labour Demand Adjustment: Does Foreign Ownership Matter? , 2010 .

[43]  S. Manigart,et al.  Financing and Investment Interdependencies in Unquoted Belgian Compagnies: The Role of Venture Capital , 2002 .

[44]  R. Rigobón,et al.  No Contagion, Only Interdependence: Measuring Stock Market Comovements , 2002 .

[45]  A. Petrović,et al.  National Rescue Measures in Response to the Current Financial Crisis , 2009, SSRN Electronic Journal.

[46]  H. Meersman,et al.  Economic Impact of Port Activity: A Disaggregate Analysis - The Case of Antwerp , 2007 .

[47]  G. Wolff,et al.  Are banks affected by their holdings of government debt? Bruegel Working Paper 2012/07, 26 March 2012 , 2012 .

[48]  Erik Hjalmarsson.  Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 853 January 2006 Revised October 2008 Inference in Long-Horizon Regressions , 2008 .

[49]  Frank Van Nieuwenhove.  Economic importance of air transport and airport activities in Belgium – Report 2012 , 2014 .

[50]  Reinout De Bock,et al.  Investment-Specific Technology Shocks and Labor Market Frictions , 2007 .

[51]  K. Behrens,et al.  Trade Crisis? What Trade Crisis? , 2010, Review of Economics and Statistics.

[52]  Karel Mertens,et al.  Empirical Evidence on the Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks , 2009 .

[53]  Matteo Iacoviello,et al.  Housing Market Spillovers: Evidence from an Estimated DSGE Model , 2008 .

[54]  Philippe Jeanfils,et al.  A Guided Tour of the World of Rational Expectations Models and Optimal Policies , 2001 .

[55]  J. Cunha,et al.  Fiscal Sustainability and Policy Implications for the Euro Area , 2008, SSRN Electronic Journal.

[56]  M. Zanardi,et al.  The Internationalization Process of Firms: From Exports to FDI , 2010 .

[57]  Pierre Giot,et al.  How Does Liquidity React to Stress Periods in a Limit Order Market? , 2004 .

[58]  J. Imbs,et al.  The Dynamics of Trade and Competition , 2006 .

[59]  Y. Amihud,et al.  Liquidity and Asset Prices , 2005 .

[60]  Luc Aucremanne,et al.  The Use of Robust Estimators as Measures of Core Inflation , 2000 .

[61]  Janet Mitchell,et al.  Staying, Dropping, or Switching: The Impacts of Bank Mergers on Small Firms , 2009 .

[62]  K. Stiroh.  New Evidence on the Determinants of Bank Risk , 2006 .

[63]  I. Visco,et al.  Knowledge, Technology and Economic Growth: an OECD Perspective , 2000 .

[64]  P. V. Cayseele.  Investment, R&D and liquidity constraints: A corporate governence approach to the Belgian evidence , 2002 .

[65]  Luc Aucremanne,et al.  Price-Setting Behaviour in Belgium: What Can Be Learned from an Ad Hoc Survey ? , 2005 .

[66]  I. Maes.  The Evolution of Alexandre Lamfalussy's Thought on the International and European Monetary System (1961-1993) , 2011 .

[67]  François Coppens,et al.  Analysis of Business Demography Using Markov Chains: An Application to Belgian Data , 2009 .

[68]  Carlos Castro,et al.  Measuring and Testing for the Systemically Important Financial Institutions , 2012 .

[69]  Janet Mitchell,et al.  Failure Prediction Models: Performance, Disagreements, and Internal Rating Systems , 2007 .

[70]  Ilke Van Beveren,et al.  Multi-Product Exporters, Carry-Along Trade and the Margins of Trade , 2010 .

[71]  Lieven Baele,et al.  Does the stock market value bank diversi cation ? , 2006 .

[72]  J. Costain,et al.  Inflation Dynamics with Labour Market Matching: Assessing Alternative Specifications , 2009 .

[73]  Frank Smets,et al.  Firm-Specific Production Factors in a DSGE Model with Taylor Price Setting , 2006, SSRN Electronic Journal.

[74]  E. Dhyne,et al.  The Effects of Internationalisation on Domestic Labour Demand by Skills: Firm-Level Evidence for Belgium , 2010 .

[75]  Lawrence J. Christiano,et al.  Financial Factors in Economic Fluctuations , 2010, SSRN Electronic Journal.

[76]  Lorenz Goette,et al.  How Wages Change: Micro Evidence from the International Wage Flexibility Project , 2006, SSRN Electronic Journal.

[77]  E. Dhyne,et al.  Temporal Distribution of Price Changes: Staggering in the Large and Synchronization in the Small , 2007 .

[78]  D. Jorgenson,et al.  Lifting the Burden: Fundamental Tax Reform and U.S. Economic Growth , 2002 .

[79]  D. Vivet.  Development of a Financial Health Indicator Based on Companies’ Annual Accounts , 2011 .

[80]  R. Cumby,et al.  Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework , 2008 .

[81]  H. Dewachter.  Imperfect Information, Macroeconomic Dynamics and the Yield Curve: An Encompassing Macro-Finance Model , 2008 .

[82]  Harald Stahl,et al.  Price Setting in the Euro Area: Some Stylised Facts from Individual Producer Price Data , 2007, SSRN Electronic Journal.

[83]  Emmanuel Dhyne,et al.  Time-Dependent versus State-Dependent Pricing: A Panel Data Approach to the Determinants of Belgian Consumer Price Changes , 2005, SSRN Electronic Journal.

[84]  C. Poilly,et al.  Firm Entry, Inflation and the Monetary Transmission Mechanism , 2011 .

[85]  A. Rannenberg,et al.  Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics , 2012, SSRN Electronic Journal.

[86]  Janet Mitchell,et al.  Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets , 2005 .

[87]  Mirabelle Muûls,et al.  Imports and Exports at the Level of the Firm: Evidence from Belgium , 2007 .

[88]  K. Stiroh,et al.  Diversification in Banking: Is Noninterest Income the Answer? , 2002 .

[89]  C. Fuss,et al.  Sectoral differences in downward real wage rigidity: workforce composition, institutions, technology and competition , 2009, Journal for Labour Market Research.

[90]  O. D. Jonghe.  Back to Basics in Banking? A Micro-Analysis of Banking System Stability , 2010 .

[91]  P. Giot,et al.  An International Analysis of Earnings, Stock Prices and Bond Yields , 2005, SSRN Electronic Journal.

[92]  N. L. Hansen,et al.  The Incidence of Nominal and Real Wage Rigidity: An Individual-Based Sectoral Approach , 2010, SSRN Electronic Journal.

[93]  G. Rayp,et al.  The Productivity and Export Spillovers of the Internationalisation Behaviour of Belgian Firms , 2010 .

[94]  J Wagner.  Exports and Productivity - Comparable Evidence for 14 Countries , 2007 .

[95]  Kris Boudt,et al.  Regime Switches in the Volatility and Correlation of Financial Institutions , 2012 .

[96]  Geert Bekaert,et al.  The Determinants of Stock and Bond Return Comovements , 2007 .

[97]  Luc Aucremanne,et al.  Assessing the Gap between Observed and Perceived Inflation in the Euro Area: Is the Credibility of the HICP at Stake? , 2007 .

[98]  Nicolas Groshenny.  Evaluating a Monetary Business Cycle Model with Unemployment for the Euro Area , 2009 .

[99]  Fabienne Verduyn,et al.  Implementation of EU legislation on rail liberalisation in Belgium, France, Germany and the Netherlands. NBB Working Paper No. 221, March 2012 , 2012 .

[100]  Hans Degryse,et al.  Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System , 2004 .

[101]  Hans Dewachter,et al.  A Multi-Factor Model for the Valuation and Risk Managment of Demand Deposits , 2006 .

[102]  Gunter W. Beck,et al.  Central Bank Misperceptions and the Role of Money in Interest Rate Rules , 2008, SSRN Electronic Journal.

[103]  Vivien Lewis,et al.  Macroeconomic Fluctuations and Firm Entry: Theory and Evidence , 2006 .

[104]  E. Dhyne,et al.  The use of fixed-term contracts and the labour adjustment in Belgium. NBB Working Paper 169, July 2009 , 2009 .

[105]  Vance L. Martin,et al.  Empirical modelling of contagion: a review of methodologies , 2005 .

[106]  Mia Hubert,et al.  Inflation, Relative Prices and Nominal Rigidities , 2002 .

[107]  Philippe Jeanfils.  Imperfect Exchange Rate Pass-Through: The Role of Distribution Services and Variable Demand Elasticity , 2008 .

[108]  E. Dhyne.  A Global Assessment of the Degree of Price Stickiness - Results from the NBB Business Survey , 2009 .

[109]  Koen Burggraeve,et al.  The Labour Market and Fiscal Impact of Labour Reductions: The Case of Reduction of Employers' Social Security Contributions Under a Wage Norm Regime with Automatic Price Indexing of Wages , 2003 .

[110]  M. D. Vroey.  Getting rid of Keynes? A survey of the history of macroeconomics from Keynes to Lucas and beyond , 2010 .

[111]  Ana E. Lamo,et al.  How Are Firms’ Wages and Prices Linked: Survey Evidence In Europe , 2009, SSRN Electronic Journal.

[112]  A. Rannenberg,et al.  The Taylor Principle and (In-)Determinacy in a New Keynesian Model with Hiring Frictions and Skill Loss , 2010 .

[113]  Abdelaziz Rouabah,et al.  Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach , 2008 .

[114]  P. Roy.  Is There a Difference Between Solicited and Unsolicited Bank Ratings and, If So, Why? , 2013 .

[115]  Frédéric Lagneaux.  Economisch belang van de Vlaamse zeehavens: verslag 2003 , 2005 .

[116]  Emmanuel Dhyne,et al.  How Frequently Do Prices Change? Evidence Based on the Micro Data Underlying the Belgian CPI , 2004, SSRN Electronic Journal.

[117]  Patrick Sevestre,et al.  Lumpy Price Adjustments: A Microeconometric Analysis , 2006, SSRN Electronic Journal.

[118]  J. Aizenman,et al.  What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk , 2011 .

[119]  A. Durre,et al.  Stock Market Valuation in the United States , 2003 .

[120]  M. Woodford,et al.  Credit Frictions and Optimal Monetary Policy , 2008 .

[121]  The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990s , 1999 .

[122]  F. Rycx,et al.  Industry Wage Differentials, Unobserved Ability, and Rent-Sharing: Evidence from Matched Worker-Firm Data, 1995-2002 , 2006 .

[123]  Freddy Heylen,et al.  The Kinked Demand Curve and Price Rigidity: Evidence from Scanner Data , 2006 .

[124]  C. Fuss,et al.  Comparative Advantage, Multi-Product Firms and Trade Liberalisation: An Empirical Test , 2012 .

[125]  Y. S. Schüler,et al.  Credit Spread Interdependencies of European States and Banks During the Financial Crisis , 2011 .

[126]  A. Beyer,et al.  The Dynamics of Spillover Effects during the European Sovereign Debt Crisis , 2013, SSRN Electronic Journal.

[127]  Ana E. Lamo,et al.  Inter-Industry Wage Differentials in EU Countries: What Do Cross-Country Time Varying Data Add to the Picture? , 2010, SSRN Electronic Journal.

[128]  Frédéric Lagneaux,et al.  Economic Importance of Air Transport and Airport Activities in Belgium. NBB Working Papers. No. 158, 10 March 2009 , 2009 .

[129]  Jozef Konings,et al.  Price and Wage Setting in an Integrating Europe: Firm Level Evidence , 2006 .

[130]  M. Koetter,et al.  Credit Risk Connectivity in the Financial Industry and Stabilization Effects of Government Bailouts , 2012, SSRN Electronic Journal.

[131]  C. Fuss,et al.  Downward Wage Rigidity for Different Workers and Firms: An Evaluation for Belgium Using the IWFP Procedure , 2007 .

[132]  Melanie E. Ward-Warmedinger,et al.  Information and beliefs in a repeated normal-form game , 2006, Experimental Economics.

[133]  A. Fontana,et al.  An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds , 2010, SSRN Electronic Journal.

[134]  Philippe Moës,et al.  The production function approach to the Belgian output gap, estimation of a multivariate structural time series model , 2006 .

[135]  Craig Brown,et al.  Too Many to Fail? Evidence of Regulatory Forbearance when the Banking Sector is Weak , 2009 .

[136]  Frank Smets,et al.  Comparing Shocks and Frictions in Us and Euro Area Business Cycles: A Bayesian DSGE Approach , 2004, SSRN Electronic Journal.

[137]  Filippo Altissimo,et al.  "Inflation persistence and price-setting behaviour in the euro area: a summary of the Inflation Persistence Network evidence." NBB Working Paper No. 95, October 2006 , 2006 .

[138]  C. Fuss,et al.  Firms’ investment decisions in response to demand and price uncertainty , 2004, SSRN Electronic Journal.

[139]  J. Ejsing,et al.  The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09 , 2009, SSRN Electronic Journal.

[140]  Michael S. Gibson,et al.  Pitfalls in Tests for Changes in Correlations , 1997 .

[141]  H. Meersman,et al.  Investment, Uncertainty and Irreversibility: Evidence from Belgian Accounting Data , 2002 .

[142]  Frédéric Verschueren,et al.  Finance, Uncertainty and Investment: Assessing the Gains and Losses of a Generalized Non Linear Structural Approach Using Belgian Panel Data , 2002 .

[143]  Maureen O’Hara,et al.  Liquidity and Financial Market Stability , 2004 .

[144]  Philippe Moës,et al.  Asymetric Growth and Inflation Developments in the Acceding Countries: A New Assessment , 2004 .

[145]  H. Huizinga,et al.  Bank Activity and Funding Strategies: The Impact on Risk and Return , 2009 .

[146]  Frank Smets,et al.  An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area , 2002 .

[147]  Frank Smets,et al.  Shocks and Frictions in Us Business Cycles: A Bayesian DSGE Approach , 2007, SSRN Electronic Journal.

[148]  C. Fuss,et al.  Rigid Labour Compensation and Flexible Employment ? Firm-Level Evidence with Regard to Productivity for Belgium , 2009 .

[149]  Paul R. Masson.  Fiscal Policy and Growth in the Context of European Integration , 2000, SSRN Electronic Journal.

[150]  Ivo Maes,et al.  The Spread of Keynesian Economics: A Comparison of the Belgian and Italian Experiences , 2007 .

[151]  H. Degryse,et al.  Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network , 2003 .

[152]  Fernando González,et al.  The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations , 2007, SSRN Electronic Journal.

[153]  Mike Anderson.  Contagion and Excess Correlation in Credit Default Swaps , 2011 .

[154]  Katrin Assenmacher,et al.  Monetary Policy, Asset Prices and Macroeconomic Conditions : A Panel-Var Study , 2008 .

[155]  K. Behrens,et al.  Trade, Wages, and Productivity , 2012 .

[156]  G. Langenus,et al.  Fiscal Sustainability Indicators and Policy Design in the Face of Ageing , 2006 .

[157]  R. Raciborski.  Searching for Additional Sources of Inflation Persistence: The Micro-Price Panel Data Approach , 2008 .

[158]  I. Maes.  On the Origins of the BIS Macro-Prudential Approach to Financial Stability: Alexandre Lamfalussy and Financial Fragility , 2009 .

[159]  Franklin Allen,et al.  The Efficiency and Stability of Banks and Markets , 2004 .

[160]  M. Pisu.  Job Creation, Job Destruction and Firms’ International Trade Involvement , 2008 .

[161]  F. Ravazzolo,et al.  Measuring Sovereign Contagion in Europe , 2013 .

[162]  J. Eaton,et al.  Trade and the Global Recession , 2010 .

[163]  Joseph Plasmans,et al.  Simulation, Estimation and Welfare Implications of Monetary Policies in a 3-Country NOEM Model , 2006 .

[164]  L. Ratnovski,et al.  The Dark Side of Bank Wholesale Funding , 2010, SSRN Electronic Journal.

[165]  Mirabelle Muûls.  Exporters and credit constraints. A firm-level approach. NBB Working Papers No. 139, 22 September 2008 , 2008 .

[166]  Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle , 2009 .

[167]  Olivier De Jonghe,et al.  Do Stock Markets Discipline US Bank Holding Companies: Just Monitoring, or also Influencing? , 2011 .

[168]  F. Smets,et al.  Openness, Imperfect Exchange Rate Pass-Through and Monetary Policy , 2002, SSRN Electronic Journal.

[169]  Dragon Yongjun Tang,et al.  Market Conditions, Default Risk and Credit Spreads , 2009, SSRN Electronic Journal.

[170]  Andrew Ang,et al.  Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe , 2011 .

[171]  Christophe Piette,et al.  Importance et évolution des investissements directs en Belgique , 2007 .

[172]  Janet Mitchell,et al.  Smes and Bank Lending Relationships: The Impact of Mergers , 2004 .

[173]  C. Swartenbroekx.  The Gas Chain: Influence of Its Specificities on the Liberalisation Process , 2007 .

[174]  Frank Smets,et al.  Forecasting with a Bayesian DSGE Model: An Application to the Euro Area , 2004, SSRN Electronic Journal.

[175]  M. Pisu.  Export Destinations and Learning-by-Exporting: Evidence from Belgium , 2008 .

[176]  I. Maes.  A Century of Macroeconomic and Monetary Thought at the National Bank of Belgium , 2010 .

[177]  Bertrand Candelon,et al.  Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis , 2011, SSRN Electronic Journal.

[178]  F. Abraham,et al.  Can Belgian Firms Cope with the Chinese Dragon and the Asian Tigers? The Export Performance of Multi-Product Firms on Foreign Markets , 2010 .

[179]  E. Dhyne,et al.  Wages, Labor or Prices: How Do Firms React to Shocks? , 2010, SSRN Electronic Journal.

[180]  Jean-Jacques Vanhaelen,et al.  The Belgian Industrial Confidence Indicator: Leading Indicator of Economic Activity in the Euro Area? , 2000 .

[181]  F. Rycx,et al.  Wage Structure Effects of International Trade: Evidence from a Small Open Economy , 2011, SSRN Electronic Journal.

[182]  Benoît Robert,et al.  La consommation privée en Belgique , 2003 .

[183]  Gianni Amisano,et al.  Contagion and the European debt crisis , 2012 .

[184]  Ronald MacDonald,et al.  The Role of the Exchange Rate in Economic Growth: A Euro-Zone Perspective , 2000 .

[185]  Glenn D. Rudebusch,et al.  The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks , 2008 .

[186]  S. Maxfield.  Comment on "What Explains Changing Spreads on Emerging Market Debt?" , 2000 .

[187]  Ludger Schuknecht,et al.  Sovereign Risk Premia in the European Government Bond Market , 2004, SSRN Electronic Journal.

[188]  V. Acharya,et al.  A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk , 2011 .

[189]  I. Maes.  The Young Lamfalussy: An Empirical and Policy-Oriented Growth Theorist , 2009 .

[190]  Andreas Worms,et al.  The Interest Rate and Credit Channels in Belgium: An Investigation with Micro-Level Firm Data , 2001, SSRN Electronic Journal.

[191]  F. Lagneaux,et al.  The Belgian iron and steel industry in the international context. NBB Working Papers. No. 160, 11 March 2009 , 2009 .

[192]  T. Mayer,et al.  NBER WORKING PAPER SERIES MARKET SIZE, COMPETITION, AND THE PRODUCT MIX OF EXPORTERS , 2013 .

[193]  K. Singleton,et al.  Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads , 2008 .

[194]  Philippe Jeanfils,et al.  Noname - A New Quarterly Model for Belgium , 2005 .

[195]  Darrell Duffie,et al.  Measuring Default Risk Premia from Default Swap Rates and EDFs , 2007 .

[196]  Frédéric Lagneaux,et al.  Importance économique du Port Autonome de Liège: rapport 2002 , 2004 .

[197]  Y. Crama,et al.  Basel II and Operational Risk: Implications for Risk Measurement and Management in the Financial Sector , 2004 .

[198]  Engin Kara.  Micro Data on Nominal Rigidity, Inflation Persistence and Optimal Monetary Policy , 2009 .

[199]  T. Peltonen,et al.  Sovereign Credit Events and Their Spillovers to the European Banking System-The Interplay Between Sovereign Bonds and CDS Holdings , 2013 .

[200]  David C. Wheelock,et al.  Why do Banks Disappear? The Determinants of U.S. Bank Failures and Acquisitions , 2000, Review of Economics and Statistics.

[201]  Ferre De Graeve,et al.  Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model , 2008 .

[202]  C. Fuss.  How Do Firms Adjust their Wage Bill in Belgium? A Decomposition Along the Intensive and Extensive Margins , 2008 .

[203]  P. Ilbas.  Estimation of Monetary Policy Preferences in a Forward-Looking Model : A Bayesian Approach , 2008 .

[204]  M. Emiris.  Sectoral vs. Country Diversification Benefits and Downside Risk , 2004 .

[205]  Carmen M. Reinhart,et al.  The Unholy Trinity of Financial Contagion , 2003 .

[206]  M. Dossche,et al.  The Patterns and Determinants of Price Setting in the Belgian Industry , 2006, SSRN Electronic Journal.

[207]  Franklin Allen,et al.  Financial Connections and Systemic Risk , 2010 .

[208]  J. Caruana,et al.  Sovereign creditworthiness and financial stability:an international perspective , 2012 .

[209]  David de la Croix,et al.  Dynamics and Monetary Policy in a Fair Wage Model of the Business Cycle , 2007 .

[210]  C. Fuss,et al.  The Response of Firms' Investment and Financing to Adverse Cash Flow Shocks: The Role of Bank Relationships , 2006 .

[211]  Rafael Wouters,et al.  Nominal Wage Rigidities in a New Keynesian Model with Frictional Unemployment , 2006 .

[212]  M. Pesaran,et al.  Econometric Issues in the Analysis of Contagion , 2004, SSRN Electronic Journal.

[213]  C. V. Nieuwenhuyze,et al.  A Generalised Dynamic Factor Model for the Belgian Economy - Useful Business Cycle Indicators and GDP Growth Forecasts , 2006 .

[214]  Luc Aucremanne,et al.  Attractive Prices and Euro-Rounding Effects on Inflation , 2001 .

[215]  Ingo Fender,et al.  No 289 Incentives and tranche retention in securitisation : a screening model , 2009 .

[216]  I. Maes,et al.  The Process of European Monetary Integration: A Comparison of the Belgian and Italian Approaches , 2003 .

[217]  Jean-Bernard Chatelain,et al.  Structural Modelling of Investment and Financial Constraints: Where Do We Stand? , 2002, SSRN Electronic Journal.

[218]  Philippe Jeanfils,et al.  Réduction linéaire de cotisations patronales à la sécurité sociale et financement alternatif , 2006 .

[219]  R. Ayadi,et al.  Business Models in European Banking: A Pre-and Post-Crisis Screening , 2011 .

[220]  A. Bernard,et al.  Intermediaries in International Trade: Direct Versus Indirect Modes of Export , 2010 .

[221]  F. Lagneaux.  Economic Importance of the Flemish Maritime Ports - Report 2002 , 2004 .