We analyze the mechanisms through which bank and sovereign distress feed into each other, using a large sample of emerging market economies over three decades. After defining “twin crises” as events where bank crises and sovereign defaults combine, and further distinguishing between those bank crises that end up in sovereign defaults and vice versa, we study what differentiates “single” and “twin” events. Using an event analysis methodology, we document systematic differences between “single” and “twin” crises across various dimensions including the balance sheet interconnection between banks and the sovereign, banking sector characteristics, the state of public finances, the macroeconomic environment and financial openness. The importance of these characteristics in shaping the transmission of stress between banks and sovereigns is confirmed by two alternative discrete-variable multivariate approaches. We also show that “twin” crises themselves are heterogeneous events: taking into account the actual time sequence of crises that compose “twin” episodes is important for understanding their channels of transmission and economic consequences. These findings inform the flourishing theoretical literature on the mechanisms surrounding feedback loops of sovereign and bank stress.

中文翻译：

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将银行的危机与主权违约联系起来：来自新兴市场的证据

我们使用三十年来的大量新兴市场经济体样本，分析了银行与主权债务危机相互影响的机制。在将“双重危机”定义为银行危机和主权违约相结合的事件，并进一步区分最终以主权违约而反之亦然的银行危机之后，我们研究了区分“单一”事件和“双重”事件的原因。使用事件分析方法，我们记录了“单一”和“孪生”危机在各个方面的系统差异，包括银行与主权之间的资产负债表互连，银行部门特征，公共财务状况，宏观经济环境和金融开放度。这些特征在塑造银行与主权国家之间的压力传递中的重要性已通过两种替代的离散变量多元方法得到证实。我们还表明，“双胞胎”危机本身是多种多样的事件：考虑到构成“双胞胎”事件的危机的实际时间顺序，对于理解其传播渠道和经济后果非常重要。这些发现为围绕主权债务和银行压力反馈回路的机制蓬勃发展的理论文献提供了参考。