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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

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

  • e-ISSN

  • 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