G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10370
DP10370 Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Marcel Fratzscher; Malte Rieth
发表日期2015-01-25
出版年2015
语种英语
摘要The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout policies by national governments. Testing specific hypotheses formulated in the literature, we find that bank bailout policies have reduced solvency risk in the banking sector, but partly at the expense of raising the credit risk of sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns and banks. Finally, we find spillover effects in particular from sovereigns in the euro area periphery to the core countries.
主题International Macroeconomics
关键词Credit risk Banks Sovereigns monetary policy Bank bailout Heteroscedasticity Spillovers
URLhttps://cepr.org/publications/dp10370
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/539201
推荐引用方式
GB/T 7714
Marcel Fratzscher,Malte Rieth. DP10370 Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. 2015.
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