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The connectedness between sovereign risk and the banking sector
This study examines the relationship between sovereign spreads and bank shares in terms of risk transmission, using a sample of the largest Italian banks over the period 2003–2023. Our objective is to quantify and compare volatility spillovers and to investigate whether bank-specific characteristics help to explain them. We perform a dynamic connectedness analysis based on the Bayesian estimation of a vector autoregression with time-varying parameters. […]