Sample | Entity | CDS premium Stationary | Bond Spread Stationary | Residuals Stationary | Johansen Test |
Financial corporate sample | IntesaSanPaolo | NO | NO | NO | Non-Cointegrated |
UniCredit | NO | NO | NO | Cointegrated | |
BNP Paribas | NO | NO | NO | Non-Cointegrated | |
SociétéGénérale | NO | NO | NO | Non-Cointegrated | |
DeutscheBank | YES | YES | - | - | |
CommerzBank | NO | NO | NO | Non-Cointegrated | |
Santander | NO | NO | YES | Non-Cointegrated | |
Non-Financial corporate sample | Vivendi | NO | NO | NO | Cointegrated |
Thyssenkrupp | NO | NO | YES | Non-Cointegrated | |
Telecom Italia | NO | NO | NO | Cointegrated | |
Eni | NO | NO | NO | Non-Cointegrated | |
Air Liquid | NO | NO | YES | Non-Cointegrated | |
Orange | NO | NO | NO | Cointegrated | |
Telefonica | NO | NO | NO | Cointegrated | |
Sovereign sample (Apr. 2011-Apr. 2014) | Germany | NO | NO | NO | Cointegrated |
Italy | NO | NO | NO | Non-Cointegrated | |
France | NO | NO | NO | Cointegrated | |
Spain | NO | NO | NO | Non-Cointegrated | |
Portugal | NO | NO | NO | Cointegrated | |
Belgium | NO | NO | NO | Cointegrated | |
Sovereign sample (May 2014-Sep. 2018) | Germany | NO | NO | NO | Non-Cointegrated |
Italy | NO | NO | NO | Non-Cointegrated | |
France | NO | NO | NO | Cointegrated | |
Spain | NO | NO | NO | Cointegrated | |
Portugal | NO | NO | NO | Cointegrated | |
Belgium | NO | NO | NO | Non-Cointegrated |