This paper examines the impact of policy uncertainty on the sovereign-bank nexus over various time-scales and frequencies. Considering Credit Default Swap premia from 32 banks in 10 countries, cross-wavelet analysis shows that sovereign default risk leads banking sector default risk in the short-run, while the relation reverses in the medium-run. Periods of high sovereign-bank dependence, moreover, coincide with periods of great political uncertainty. Applying partial wavelet coherency analysis, the sovereign-bank dependencies significantly weaken once the influence of Economic Policy Uncertainty is eliminated. This shows a tightening of the sovereign-bank nexus in times of great policy uncertainty.

本文考察了政策不确定性在不同时间尺度和频率上对主权银行关系的影响。考虑10个国家32家银行的信用违约互换溢价，交叉小波分析表明，主权违约风险在短期内领先于银行业违约风险，而在中期则相反。此外，高度依赖主权银行的时期与政治不确定性很大的时期相吻合。应用部分小波相干分析，一旦经济政策不确定性的影响被消除，主权-银行的依赖性就会显着减弱。这表明在政策不确定性很大的时期，主权银行之间的关系会更加紧密。