We use sign-identified macroeconomic models to study the interaction of financial sector and sovereign credit risks in Europe. We find that country-specific financial sector bailout shocks do not generate strong international spillovers, because they primarily transfer private sector risk onto the local sovereign. By contrast, sovereign risk shocks generate substantial spillovers onto the global financial sector and for international sovereign debt markets. We conclude that any financial sector bailout policy that undermines the creditworthiness of the affected sovereign is likely to exacerbate global credit risk. Our findings highlight the unintended global consequences of country-specific financial sector bailout programmes.

中文翻译：

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特定国家金融部门救助和主权风险冲击的国际溢出效应*

我们使用符号识别宏观经济模型来研究欧洲金融部门与主权信用风险的相互作用。我们发现特定国家的金融部门救助冲击不会产生强烈的国际溢出效应，因为它们主要将私营部门风险转移到当地主权国家。相比之下，主权风险冲击对全球金融部门和国际主权债务市场产生了大量溢出效应。我们得出的结论是，任何削弱受影响主权国家信誉的金融部门救助政策都可能加剧全球信用风险。我们的研究结果强调了特定国家金融部门救助计划的意外全球后果。