Risky bank guarantees

• 成果类型: Article
• 署名作者: Makinen, Taneli; Sarno, Lucio; Zinna, Gabriele
• 署名单位: European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.10.005
• 发表日期: 2020
• 页码: 490-522
• 关键词: banks; Sovereign risk; Risk premium; government guarantee

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. (C) 2019 Elsevier B.V. All rights reserved.