Financial stability in Europe: Banking and sovereign risk
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10376531" target="_blank" >RIV/00216208:11230/18:10376531 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.jfs.2018.03.001" target="_blank" >https://doi.org/10.1016/j.jfs.2018.03.001</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jfs.2018.03.001" target="_blank" >10.1016/j.jfs.2018.03.001</a>
Alternative languages
Result language
angličtina
Original language name
Financial stability in Europe: Banking and sovereign risk
Original language description
We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999-2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector characteristics, and a Bayesian inference in panel estimation as a methodology. We show that a higher proportion of non-performing loans is the single most influential sector-specific variable that is associated with increased sovereign risk. The sector's depth provides mixed results. The stability (capital adequacy ratio) and size (TBA) of the industry are linked to lower sovereign risk in general. Foreign bank penetration and competition (a more diversified structure of the industry) are linked to lower sovereign risk. Our results also support the wake-up call hypothesis in that markets re-appraised a number of banking sector-related issues in the pricing of sovereign risk after the onset of the sovereign crisis in Europe. (C) 2018 Published by Elsevier B.V.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Financial Stability
ISSN
1572-3089
e-ISSN
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Volume of the periodical
36
Issue of the periodical within the volume
June
Country of publishing house
US - UNITED STATES
Number of pages
17
Pages from-to
305-321
UT code for WoS article
000434490200021
EID of the result in the Scopus database
2-s2.0-85046364461