Financial stability in Europe: Banking and sovereign risk
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Financial stability in Europe: Banking and sovereign risk
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Financial stability in Europe: Banking and sovereign risk
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Journal of Financial Stability
ISSN
1572-3089
e-ISSN
—
Svazek periodika
36
Číslo periodika v rámci svazku
June
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
17
Strana od-do
305-321
Kód UT WoS článku
000434490200021
EID výsledku v databázi Scopus
2-s2.0-85046364461