Purpose

The paper examines the impact of the deteriorating fiscal conditions of Eurozone countries on spillover effects on bank credit margins. It is investigated whether these effects have been reduced after European Central Bank’s (ECB) signaling of pursuing an expansionary, unconventional, monetary policy to address the debt crisis in Eurozone.

Design/methodology/approach

A general econometric panel model is applied to investigate spillover effects between Eurozone countries and bank credit margins. In total, three periods are examined: the period before the peak of the global financial crisis and the beginning of the Irish banking crisis, the period during the debt and bank crisis in Eurozone and the period after ECB's signaling of extremely aggressive monetary easing.

Findings

According to empirical results, before the peak of the global financial crisis there was no substantial credit risk transfer from Eurozone sovereigns to banks. During the period of debt and bank crisis in Eurozone, the deterioration of the fiscal situation of Eurozone countries had a significant impact on bank Credit Default Swap (CDS) spreads. After ECB's signaling of extremely aggressive monetary easing, it does not seem to be any significant relationship between Eurozone sovereigns and bank CDS spreads. These findings reinforce the assessment that ECB's measures were effective, achieving the key objective of normalizing economic conditions and ensuring financial stability in Eurozone.

Research limitations/implications

A question is whether effects can change when the corresponding contraction will lead to a reinstatement of “normal” conditions. Would there be a reversal of risk premium trends in bond markets? Although the answer from casual observations seems to be negative, it is a valid research question to be examined. An interesting issue concerning the unconventional monetary policy measures implemented by ECB concerns the issues of moral hazard that they incorporate, something that could not be addressed. Another research perspective could be the use of the beta coefficient to measure the systematic and unsystematic risk of banking sector shares.

Practical implications

The results have strong implications for ECB and European banking regulation. Regulators should mainly pay more attention to the amount and concentration of sovereign debt held by banks. Eurozone financial system could be less vulnerable to the sovereign credit risk. It raised the critical question of whether a more strict regulation is needed. Regulators should not intervene if not necessary, but they must prevent the transmission of crises between markets. This will likely bring trust to the developed countries' sovereign debt and the portfolios of the financial institutions, which hold most of this debt will be considered safe as well.

Social implications

The conclusions provide a safe counterweight in various respects. First, the negative effects and the need to rapidly cease or limit such policies. Second, the financial stability aimed by ECB. Such policies contain the possibility of a subsequent moral hazard related to Member State and bank behavior. However, these contingencies need to be assessed with the benefits resulting from the restoration of financial markets and the disconnection between banking and sovereign credit risk. This leads Eurozone's financial system to become less vulnerable to the sovereign credit risk and therefore more safe, helping to restore confidence in the real economy.

Originality/value

Contribution in terms of methodology and conclusions. It offers important conclusions regarding the limitations of yields and volatility of CDS spreads. It examines the spillover effects of the fiscal situation of Eurozone countries on banking institutions by extending the existing methodology and introducing new questions focusing on the reaction of CDS market to the ECB monetary policy, the reduction of risk premiums at sovereign and banking level and the gradual reduction of interdependence between them.

中文翻译：

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欧洲央行非常规货币政策与主权与银行信用风险的溢出效应

目的

本文研究了欧元区国家不断恶化的财政状况对银行信贷利润率溢出效应的影响。在欧洲中央银行 (ECB) 发出信号表示采取扩张性、非常规的货币政策以解决欧元区债务危机后，调查这些影响是否已经减弱。

设计/方法/方法

采用一般计量经济学面板模型来研究欧元区国家和银行信贷利润率之间的溢出效应。总共考察了三个时期：全球金融危机高峰和爱尔兰银行业危机开始之前的时期、欧元区债务和银行危机期间以及欧洲央行发出极其激进的货币宽松信号之后的时期。

发现

根据实证结果，在全球金融危机高峰之前，欧元区主权国家并没有向银行转移实质性的信用风险。在欧元区债务和银行危机期间，欧元区国家财政状况的恶化对银行信用违约互换（CDS）利差产生了重大影响。在欧洲央行发出极其激进的货币宽松信号后，欧元区主权国家与银行 CDS 利差之间似乎没有任何重大关系。这些调查结果强化了对欧洲央行措施有效的评估，实现了经济状况正常化和确保欧元区金融稳定的关键目标。

研究限制/影响

一个问题是，当相应的收缩导致恢复“正常”条件时，效果是否会发生变化。债券市场的风险溢价趋势会逆转吗？尽管偶然观察的答案似乎是否定的，但这是一个值得研究的有效研究问题。有关欧洲央行实施的非常规货币政策措施的一个有趣问题涉及它们所包含的道德风险问题，这是无法解决的。另一个研究视角可能是使用贝塔系数来衡量银行业股票的系统性和非系统性风险。

实际影响

该结果对欧洲央行和欧洲银行业监管具有重要意义。监管者应重点关注银行持有主权债务的数量和集中度。欧元区金融体系可能不太容易受到主权信用风险的影响。它提出了一个关键问题，即是否需要更严格的监管。如果没有必要，监管者不应干预，但他们必须防止危机在市场之间传播。这可能会给发达国家的主权债务和持有大部分此类债务的金融机构的投资组合带来信任，也将被认为是安全的。

社会影响

这些结论在各个方面提供了一个安全的平衡点。首先，负面影响以及迅速停止或限制此类政策的必要性。第二，欧洲央行的目标是金融稳定。此类政策包含与成员国和银行行为相关的后续道德风险的可能性。然而，这些或有事项需要根据金融市场的恢复以及银行与主权信用风险之间的脱节所带来的好处进行评估。这导致欧元区的金融体系对主权信用风险的脆弱性降低，因此更加安全，有助于恢复对实体经济的信心。

原创性/价值

在方法论和结论方面的贡献。它提供了关于 CDS 价差的收益率和波动性限制的重要结论。它通过扩展现有方法并引入新问题，重点关注 CDS 市场对欧洲央行货币政策的反应、主权和银行层面风险溢价的降低以及逐步减少它们之间的相互依赖。