Sovereign risk surges are tightly linked to bank risk and primary deficits during crises. While the literature documents this unconditional evidence, identification of the main channels driving the state of the sovereign-bank risk pass-through and its fiscal premia component remains an open issue. We estimate a Markov-switching VAR on Italian data for the period 1990–2019 to describe the run up of sovereign and bank credit risk in an environment where regime switches determine the extent to which the fiscal stance feeds risk. We find that a model displaying recurrent regimes affecting both shocks’ sizes and the transmission mechanism between fundamentals and spreads best explain the data. Stress states of heightened risk amplification and a modest role for fundamentals are historically identified. These states feature increased risk sensitivity to primary deficits and to fiscal multipliers, and a tighter sovereign-bank risk pass-through.

主权风险激增与危机期间的银行风险和主要赤字密切相关。虽然文献记录了这种无条件的证据，但确定推动主权银行风险传递状态及其财政溢价成分的主要渠道仍然是一个悬而未决的问题。我们估计了 1990 年至 2019 年期间意大利数据的马尔可夫转换 VAR，以描述在体制转换决定财政立场引发风险的程度的环境中主权和银行信用风险的上升。我们发现，显示影响冲击规模和基本面与价差之间传输机制的周期性机制的模型最能解释数据。历史上确定了风险放大加剧和基本面作用不大的压力状态。