A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

被引：462

作者：

Acharya, Viral ^{[1
,2
]}

Drechsler, Itamar ^{[1
,2
]}

Schnabl, Philipp ^{[1
,2
]}

机构：

[1] NYU, New York, NY 10003 USA

[2] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2014年 / 69卷 / 06期

关键词：

EMPIRICAL-ANALYSIS; DEFAULT RISK; LIQUIDITY; DEBT; MARKET; DETERMINANTS; RESOLUTION;

D O I：

10.1111/jofi.12206

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost increases sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government guarantees and bond holdings. Using credit default swap (CDS) rates on European sovereigns and banks, we show that bailouts triggered the rise of sovereign credit risk in 2008. We document that post-bailout changes in sovereign CDS explain changes in bank CDS even after controlling for aggregate and bank-level determinants of credit spreads, confirming the sovereign-bank loop.

引用

页码：2689 / 2739

页数：51

共 47 条

[1] Too many to fail - An analysis of time-inconsistency in bank closure policies [J].