A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

• 成果类型: Article
• 署名作者: Acharya, Viral; Drechsler, Itamar; Schnabl, Philipp
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12206
• 发表日期: 2014
• 页码: 2689-2739
• 关键词: EMPIRICAL-ANALYSIS; default risk; liquidity; debt; MARKET; determinants; RESOLUTION

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.