Economics Letters ( IF 2.1 ) Pub Date : 2021-07-07 , DOI: 10.1016/j.econlet.2021.109983 Stephan Bales 1 , Hans-Peter Burghof 1
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:
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。