| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11340 |
| DP11340 Sovereign Risk, Bank Funding and Investors’ Pessimism | |
| Ester Faia | |
| 发表日期 | 2016-06-19 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Data show that sovereign risk reduces liquidity, increases funding cost and risk of banks highly exposed to it. A feedback loop exists between sovereign and bank risk. I build a model that rationalizes those links. Banks act as delegated monitors and invest in risky projects and in risky sovereign bonds. As investors hear rumors of increased sovereign risk, they run the bank (via global games). Banks could rollover liquidity in repo market using government bonds as collateral, but as sovereign risk raises collateral values shrink. Overall banks’ liquidity falls (its cost increases) and so does banks’ credit. In this context noisy news (announcements with signal extraction) of consolidation policy are recessionary in the short run, as they contribute to investors and banks pessimism, and mildly expansionary in the medium run. The banks liquidity channel plays a major role in the fiscal transmission. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Liquidity risk Sovereign risk Feedback loops Banks’ funding costs Repo freezes |
| URL | https://cepr.org/publications/dp11340 |
| 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/540156 |
| 推荐引用方式 GB/T 7714 | Ester Faia. DP11340 Sovereign Risk, Bank Funding and Investors’ Pessimism. 2016. |
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