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