This study assesses the impact of policy uncertainty and the interest rate environment on the sovereign-bank nexus considering 48 banks in 14 countries. By applying principal component analysis to bank CDS premia in a country, the dynamic conditional correlation between sovereign CDS premia and the common variation underlying bank CDS is specified. Fixed effects panel regression analysis shows that the sovereign-bank correlation significantly increases in times of great policy uncertainty, low bank interest margins, high interbank market rates, and a low ratio of bank Tier 1 capital.

中文翻译：

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政策不确定性、利率环境以及主权与银行违约风险的动态相关性

本研究考虑了 14 个国家的 48 家银行，评估了政策不确定性和利率环境对主权银行关系的影响。通过对一个国家的银行 CDS 溢价应用主成分分析，指定主权 CDS 溢价与银行 CDS 基础的共同变化之间的动态条件相关性。固定效应面板回归分析表明，在政策不确定性大、银行息差低、银行间市场利率高、银行一级资本比率低的情况下，主权银行相关性显着增加。