Eurozone Exit Risk

44 Pages Posted: 3 Jun 2017 Last revised: 16 May 2019

See all articles by Stefan Eichler

Stefan Eichler

Leibniz Universität Hannover; Halle Institute for Economic Research

Ingmar Roevekamp

Dresden University of Technology - Faculty of Economics and Business Management

Date Written: May 7, 2019


We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts
(ADRs). We exploit ADR investors’ exposure to potential losses associated with a eurozone
exit, e.g. due to redenomination of underlying stocks into the new devaluated currency, capital
controls or trading halts. We are the first to analyze the effects of eurozone exit risk on banks
and non-financial firms. European banks are negatively affected by exit risk of Greece, Ireland
and Portugal, channeled through bilateral credit risk. Non-financial firms in the GIIPS countries
respond negatively to domestic exit risk, while a lower ratio of short-term debt to cash and
larger company size reduce this exposure.

Keywords: Eurozone Exit Risk; American Depositary Receipts; Exposure of banks and non-financial companies

JEL Classification: F31, F32, G01, G12, G15

Suggested Citation

Eichler, Stefan and Roevekamp, Ingmar, Eurozone Exit Risk (May 7, 2019). Available at SSRN: or

Stefan Eichler

Leibniz Universität Hannover

Institute of Money and International Finance
Koenigsworther Platz 1
Hannover, 30167

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108

Ingmar Roevekamp (Contact Author)

Dresden University of Technology - Faculty of Economics and Business Management ( email )

Mommsenstrasse 13
Dresden, D-01062

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