Purpose

This paper aims to investigate the nexus between banks’ foreign assets and sovereign default risk in a panel of 15 developed economies. The empirical evidence suggests that banks’ foreign exposure is an important determinant of sovereign default probability.

Design/methodology/approach

Using data from the consolidated banking statistics (total foreign claims on ultimate risk basis) by the Bank of International Settlements, the author constructs a measure of bank international exposure to peer countries. This measure is then used as the target variable in a panel regression for sovereign credit default swaps. The model includes 15 European and non-European developed economies. Identification is discussed extensively in the paper.

Findings

Quantitatively, a 1% increase in banks’ cross-border claims increases sovereign default risk by about 0.19%. The relationship is weaker when banks are more capitalised. On the other hand, governments are more vulnerable to credit risk spillovers from banks’ international portfolios when having higher debt to GDP ratios.

Originality/value

To the best of the author’s knowledge, this is the first paper that attempts explicitly to establish an empirical connection between banks’ international assets and sovereign default risk. To the author’s opinion, this paper represents a contribution to our understanding of how sovereign credit risk spills over across countries. It also extends significantly the existing literature on the determinants of sovereign risk (that primarily focused on fundamentals, market characteristics – such as liquidity – and global factors). This paper ultimately sheds some new light on the role of intermediaries in the international transmission of credit risk, also adding to today’s discussion about the linkages between banks and sovereigns.

中文翻译：

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银行的国际资产和主权违约风险

目的

本文旨在调查 15 个发达经济体中银行外国资产与主权违约风险之间的关系。经验证据表明，银行的海外风险敞口是主权违约概率的重要决定因素。

设计/方法/方法

使用国际清算银行的合并银行统计数据（基于最终风险的外国债权总额），作者构建了银行对同行国家的国际风险敞口的衡量标准。然后将该度量用作主权信用违约掉期面板回归中的目标变量。该模型包括 15 个欧洲和非欧洲发达经济体。论文中广泛讨论了识别问题。

发现

从数量上看，银行跨境债权每增加 1%，主权违约风险就会增加约 0.19%。当银行资本充足时，这种关系就会减弱。另一方面，当债务与 GDP 的比率较高时，政府更容易受到银行国际投资组合信用风险溢出的影响。

原创性/价值

据作者所知，这是第一篇明确尝试在银行国际资产与主权违约风险之间建立实证联系的论文。在作者看来，本文有助于我们理解主权信用风险如何在国家间溢出。它还大大扩展了关于主权风险决定因素的现有文献（主要关注基本面、市场特征——例如流动性——和全球因素）。本文最终揭示了中介机构在信用风险国际传导中的作用，也为今天关于银行与主权国家之间联系的讨论增添了新的内容。