Sovereign debt exposures and banking risks in the current EU financial crisis

被引：15

作者：

Arnold, Ivo J. M. ^{[1
]}

机构：

[1] Erasmus Univ, Erasmus Sch Econ, NL-3000 DR Rotterdam, Netherlands

来源：

JOURNAL OF POLICY MODELING | 2012年 / 34卷 / 06期

关键词：

Sovereign debt; Credit crisis; Euro area; Banking;

D O I：

10.1016/j.jpolmod.2012.05.016

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper explores the relationship between sovereign risk and banking risk during the European sovereign debt crisis in May 2010. We link banks' stock returns and CDS rates to sovereign CDS rates, to examine the spillover of sovereign risk to the banking system in the EU. More specifically, we use sovereign debt exposures from the EU's July 2010 stress tests to investigate whether heavily exposed banks were hit harder during the May 2010 crisis. The results are mixed. Banks exposed to distressed sovereign debt respond more strongly to changes in sovereign CDS rates. On closer examination, however, this result appears to be driven by banks which are located in countries experiencing sovereign debt problems. (C) 2012 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.

引用

页码：906 / 920

页数：15