Sovereign credit spreads, banking fragility, and global factors

IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Stability Pub Date : 2024-02-08 DOI:10.1016/j.jfs.2024.101235
Anusha Chari , Felipe Garcés , Juan Francisco Martínez , Patricio Valenzuela
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Abstract

This study explores the relationship between sovereign credit risk, banking fragility, and global financial factors in a large panel database of emerging market economies. To measure banking fragility, we construct a novel model-based semi-parametric metric (JLoss) that computes the expected joint loss of the banking sector in each country conditional on a country-level systemic event. Our metric of banking fragility is positively associated with sovereign credit spreads, after controlling for the standard determinants of sovereign credit risk, a comprehensive set of measures of systemic risk, and country and time fixed effects. The results additionally indicate that countries with more fragile banking sectors are more exposed to global (exogenous) financial factors than those with more resilient banking sectors. These findings underscore that regulators must ensure the stability of the banking sector to improve governments’ borrowing costs in international debt markets.

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主权信用利差、银行业脆弱性和全球因素
本研究在一个大型新兴市场经济体面板数据库中探讨了主权信用风险、银行业脆弱性和全球金融因素之间的关系。为了衡量银行业的脆弱性,我们构建了一个新颖的基于模型的半参数度量(JLoss),该度量计算了各国银行业在发生国家级系统性事件时的预期联合损失。在控制了主权信用风险的标准决定因素、一套全面的系统性风险衡量指标以及国家和时间固定效应之后,我们的银行业脆弱性指标与主权信用利差正相关。结果还表明,与银行业更具弹性的国家相比,银行业更脆弱的国家更容易受到全球(外生)金融因素的影响。这些发现强调,监管机构必须确保银行业的稳定,以提高政府在国际债务市场上的借贷成本。
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来源期刊
CiteScore
7.70
自引率
9.30%
发文量
78
审稿时长
34 days
期刊介绍: The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.
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