Government guarantees and the two-way feedback between banking and sovereign debt crises

• 成果类型: Article
• 署名作者: Leonello, Agnese
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.003
• 发表日期: 2018
• 页码: 592-619
• 关键词: Bank runs; sovereign default; strategic complementarity; Government bond yield

摘要

This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers some new results on the role of guarantees in the bank sovereign nexus. First, guarantees emerge as a key channel linking banks' and sovereign stability, even in the absence of banks' holdings of sovereign bonds. Second, depending on the specific characteristics of the economy and the nature of banking crises, an increase in the size of guarantees can be beneficial for the bank-sovereign nexus in that it enhances financial stability without undermining sovereign solvency. (C) 2018 Elsevier B.V. All rights reserved.