全球智库信息集成服务系统(G2TT): DP8679 A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP8679
	DP8679 A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
	Viral Acharya; Philipp Schnabl; Itamar Drechsler
发表日期	2011-12-01
出版年	2011
语种	英语
摘要	We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it weakens its incentive to invest, decreasing growth. Instead, the sovereign may choose to fund the bailout by diluting existing government bondholders, resulting in a deterioration of the sovereign's creditworthiness. This deterioration feeds back to the financial sector, reducing the value of its guarantees and existing bond holdings as well as increasing its sensitivity to future sovereign shocks. We provide empirical evidence for this two-way feedback between financial and sovereign credit risk using data on the credit default swaps (CDS) of the Eurozone countries and their banks for 2007-11. We show that the announcement of financial sector bailouts was associated with an immediate, unprecedented widening of sovereign CDS spreads and narrowing of bank CDS spreads; however, post-bailouts there emerged a significant co-movement between bank CDS and sovereign CDS, even after controlling for banks' equity performance, the latter being consistent with an effect of the quality of sovereign guarantees on bank credit risk.
主题	Financial Economics
关键词	Financial crises Forbearance Deleveraging Sovereign debt Growth Credit default swaps
URL	https://cepr.org/publications/dp8679
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/537516
推荐引用方式 GB/T 7714	Viral Acharya,Philipp Schnabl,Itamar Drechsler. DP8679 A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. 2011.