| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13709 |
| DP13709 Risky Bank Guarantees | |
| Taneli Mäkinen; LUCIO SARNO; Gabriele Zinna | |
| 发表日期 | 2019-05-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting that guaranteed banks, defined as those of particular importance to the national economy, inherit the risk of the guarantor. Indeed, this premium does not exist in safe-haven countries. We rationalize these findings with a model in which implicit government guarantees are risky in the sense that they provide protection that depends on the aggregate state of the economy. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Banks Sovereign risk risk premium Government guarantee |
| URL | https://cepr.org/publications/dp13709 |
| 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/542572 |
| 推荐引用方式 GB/T 7714 | Taneli Mäkinen,LUCIO SARNO,Gabriele Zinna. DP13709 Risky Bank Guarantees. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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