Transmission of sovereign risk in the Euro crisis

• 成果类型: Article
• 署名作者: Brutti, Filippo; Saure, Philip
• 署名单位: Swiss National Bank (SNB)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.03.009
• 发表日期: 2015
• 页码: 231-248
• 关键词: Cross-country transmission; Sovereign risk; Financial linkages; Euro crisis narrative approach

摘要

We assess the role of financial linkages for the transmission of sovereign risk in the Euro crisis. Building on the narrative approach by Romer and Romer (1989, 2010) and augmented by Mertens and Ravn (2013), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European countries. To estimate how these shocks transmit across borders, we use data on cross-country bank exposures to sovereign debt. Our results indicate that cross-border financial exposures constitute important transmission channels: a reduction of exposure to overall Greek debt by one standard deviation is associated with a reduction in the response of the sovereign CDS to a shock to Greek sovereign risk by about three quarter in the average country. Decomposing these effects, we find that exposures to sovereign debt constitute significant transmission channels, while we find no robust support for transmission through bank-to-bank lending. (C) 2015 Elsevier B.V. All rights reserved.