The Nexus between Sovereign Default Risk and Bank Fragility: Evidence from China
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077211" target="_blank" >RIV/00216224:14560/14:00077211 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/14:86089834
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The Nexus between Sovereign Default Risk and Bank Fragility: Evidence from China
Original language description
In this paper we investigate the interdependence of the sovereign default risk and its domestic banks on the example of China during the time period of 2003-2011 using credit default swaps as a proxy for default risk. China?s banking industry has predominantly remained state-owned, even after a series of significant reforms in the last two decades. We employ bivariate vector autoregressive (VAR) and vector error correction (VECM) framework to analyze the short- and long-run dynamics of the chosen data series. To describe the direction of the discovered dynamics, we use Granger causality. We find evidence of a stable long-run relationship between sovereign and bank CDS spreads in chosen time period. The relationship was significant only in a state-bankdirection and not vice versa.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-20613S" target="_blank" >GA13-20613S: Institutional Structures of Financial Services Supervision and Monitoring of Systemic Risk in Central Europe</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2014. Proceedings of the 11th International Scientific Conference
ISBN
9788021071537
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
143-150
Publisher name
Masaryk University
Place of publication
Brno
Event location
Lednice
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000350701500018