Abstract
data on the composition and risk of banks' foreign exposures. For the largest banks, a one standard deviation change in our foreign-
exposure risk measure leads to a 30 basis point change in the CDS premia. Further, we show that sovereign CDS premia are significantly
affected by the foreign exposures of their domestic banks. We quantify how this global spillover effect depends on the size and riskiness of the
sovereign's implicit and explicit guarantees extended to its domestic banking system.
| Original language | English |
|---|---|
| Publication date | 7 Feb 2014 |
| Number of pages | 73 |
| Publication status | Published - 7 Feb 2014 |
| Event | Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014 - Universitatea Babes-Bolyai, Cluj-Napoca , Romania Duration: 18 Aug 2014 → 22 Aug 2014 http://www.econ.ubbcluj.ro/ermas2014/ |
Conference
| Conference | Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014 |
|---|---|
| Location | Universitatea Babes-Bolyai |
| Country | Romania |
| City | Cluj-Napoca |
| Period | 18/08/2014 → 22/08/2014 |
| Internet address |
Cite this
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Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads. / Kallestrup, René; Lando, David; Murgoci, Agatha.
2014. Paper presented at Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014, Cluj-Napoca , Romania.Research output: Contribution to conference › Paper › Research › peer-review
TY - CONF
T1 - Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
AU - Kallestrup, René
AU - Lando, David
AU - Murgoci, Agatha
PY - 2014/2/7
Y1 - 2014/2/7
N2 - We show that banks' foreign asset holdings are significant determinants of bank and sovereign CDS premia. Our analysis uses detaileddata on the composition and risk of banks' foreign exposures. For the largest banks, a one standard deviation change in our foreign-exposure risk measure leads to a 30 basis point change in the CDS premia. Further, we show that sovereign CDS premia are significantlyaffected by the foreign exposures of their domestic banks. We quantify how this global spillover effect depends on the size and riskiness of thesovereign's implicit and explicit guarantees extended to its domestic banking system.
AB - We show that banks' foreign asset holdings are significant determinants of bank and sovereign CDS premia. Our analysis uses detaileddata on the composition and risk of banks' foreign exposures. For the largest banks, a one standard deviation change in our foreign-exposure risk measure leads to a 30 basis point change in the CDS premia. Further, we show that sovereign CDS premia are significantlyaffected by the foreign exposures of their domestic banks. We quantify how this global spillover effect depends on the size and riskiness of thesovereign's implicit and explicit guarantees extended to its domestic banking system.
KW - Credit risk
KW - Banks
KW - Sovereign risk
M3 - Paper
ER -