The Impact of Sovereign Shocks

• 成果类型: Article
• 署名作者: Manzo, Gerardo; Picca, Antonio
• 署名单位: The Vanguard Group, Inc.
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3326
• 发表日期: 2020
• 页码: 3113-3132
• 关键词: systemic risk; Contagion risk; banking risk; Sovereign risk; fiscal fragility; Narrative approach

摘要

This paper studies the dynamic propagation mechanisms of systemic risk shocks within and across macrosystems of governments and financial institutions. We propose a novel approach to identify relevant systemic shocks and to classify them into sovereign or banking categories. We find that sovereign shocks have a significant and persistent impact on the probability of a collective banking default. We also explore channels through which these shocks propagate and identify how sovereign fiscal fragility and banking exposure are relevant mechanisms of shock transmission.