Eurozone Exit Risk

39 Pages Posted: 3 Jun 2017 Last revised: 21 Sep 2018

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: September 4, 2018


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, Italy and Spain, channeled through bilateral credit risk. Non-financial firms from GIIPS countries respond negatively to domestic exit risk, while larger corporate cash holdings 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 (September 4, 2018). 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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