Financial stability in Europe: Banking and sovereign risk

被引:38
作者
Bruha, Jan [1 ]
Kocenda, Evzen [2 ,3 ,4 ]
机构
[1] Czech Natl Bank, Prague, Czech Republic
[2] Charles Univ Prague, Inst Econ Studies, Opletalova 26, Prague 11000, Czech Republic
[3] CESifo, Munich, Germany
[4] IOS, Regensburg, Germany
关键词
Sovereign default risk; Banking sector; Global financial crisis; Financial stability; European Union; CREDIT RISK; CONTAGION; INTERDEPENDENCIES; BAILOUTS; POLICY;
D O I
10.1016/j.jfs.2018.03.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999-2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector characteristics, and a Bayesian inference in panel estimation as a methodology. We show that a higher proportion of non-performing loans is the single most influential sector-specific variable that is associated with increased sovereign risk. The sector's depth provides mixed results. The stability (capital adequacy ratio) and size (TBA) of the industry are linked to lower sovereign risk in general. Foreign bank penetration and competition (a more diversified structure of the industry) are linked to lower sovereign risk. Our results also support the wake-up call hypothesis in that markets re-appraised a number of banking sector-related issues in the pricing of sovereign risk after the onset of the sovereign crisis in Europe. (C) 2018 Published by Elsevier B.V.
引用
收藏
页码:305 / 321
页数:17
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