脆弱性
金融体系
业务
金融脆弱性
主权
货币经济学
信用风险
经济
金融危机
财务
宏观经济学
政治学
政治
物理化学
化学
法学
作者
Anusha Chari,Felipe Garcés,Juan Francisco Martı́nez,Patricio Valenzuela
标识
DOI:10.1016/j.jfs.2024.101235
摘要
This study explores the relationship between sovereign credit risk, banking fragility, and global financial factors in a large panel database of emerging market economies. To measure banking fragility, we construct a novel model-based semi-parametric metric (JLoss) that computes the expected joint loss of the banking sector in each country conditional on a country-level systemic event. Our metric of banking fragility is positively associated with sovereign credit spreads, after controlling for the standard determinants of sovereign credit risk, a comprehensive set of measures of systemic risk, and country and time fixed effects. The results additionally indicate that countries with more fragile banking sectors are more exposed to global (exogenous) financial factors than those with more resilient banking sectors. These findings underscore that regulators must ensure the stability of the banking sector to improve governments’ borrowing costs in international debt markets.
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