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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Arbeitspapier No. 07/2016
Verlag: 
Sachverständigenrat zur Begutachtung der Gesamtwirtschaftlichen Entwicklung, Wiesbaden
Zusammenfassung: 
The positive relationship between bank and sovereign credit risk in the Eurozone, the so-called sovereign-bank nexus, is seen as a major threat for the stability of the Eurozone. This paper explores potential bank-level and country-level drivers of this relationship. We find that banks' home bias in their sovereign exposures and their low equity ratios as well as countries' high debt-to-GDP ratios and low perceived government effectiveness are positively related to the sovereign-bank nexus. While these results do not necessarily reflect causal relationships, they suggest that promoting banks' diversification of sovereign exposures could be an effective measure to mitigate the sovereign-bank nexus.
Schlagwörter: 
sovereign-bank nexus
home bias
sovereign exposures
CDS spreads
JEL: 
G21
G28
Dokumentart: 
Working Paper

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