Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

Bales Stephan; Burghof Hans-Peter

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Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

机译：政策不确定性，利率环境和主权与银行违约风险之间的动态相关性

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This study assesses the impact of policy uncertainty and the interest rate environment on the sovereign-bank nexus considering 48 banks in 14 countries. By applying principal component analysis to bank CDS premia in a country, the dynamic conditional correlation between sovereign CDS premia and the common variation underlying bank CDS is specified. Fixed effects panel regression analysis shows that the sovereign-bank correlation significantly increases in times of great policy uncertainty, low bank interest margins, high interbank market rates, and a low ratio of bank Tier 1 capital. (C) 2021 Elsevier B.V. All rights reserved.

机译：本研究评估了政策不确定性和利率环境对14个国家的48个银行的主权银行Nexus的影响。通过将主成分分析应用于一个国家的银行CDS Premia，规定了主权CDS Premia与普通变异银行CDS之间的动态条件相关性。固定效果面板回归分析表明，主权银行相关性在巨大的政策不确定性，低银行利息边距，高银行市场率和银行1资本的低比例中显着增加。（c）2021 elestvier b.v.保留所有权利。

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来源
《Economics letters》 |2021年第9期|109983.1-109983.7|共7页
作者
Bales Stephan; Burghof Hans-Peter;
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作者单位

Univ Hohenheim Dept Banking & Financial Serv D-70593 Stuttgart Germany;

Univ Hohenheim Dept Banking & Financial Serv D-70593 Stuttgart Germany;

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原文格式 PDF
正文语种 eng
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关键词
Sovereign-bank nexus; Economic policy uncertainty; Interest rates; DCC-GARCH;

机译：主权银行Nexus;经济政策不确定性;利率;DCC-GARCH;

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1. INTEREST RATE UNCERTAINTY AND SOVEREIGN DEFAULT RISK [J] . Alok Johri, Shahed Khan, Cesar Sosa-Padilla Working Paper Series. Monetary Economics . 2020,第27639期

机译：利率不确定性和主权违约风险
2. Exchange rate policy under sovereign default risk [J] . Andreas Schabert Economics letters . 2011,第2期

机译：主权违约风险下的汇率政策
3. Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective [J] . Ruwei Zhao, Yian Cui Discrete dynamics in nature and society . 2021,第a期

机译：经济政策不确定性与美元汇率的动态互相关分析：AMF-DCCA观点
4. DMCDM: A dynamic multi criteria decision making model for sovereign credit default risk evaluation [C] . Lou Chunwei, Peng Yi, Kou Gang, The 2nd International Conference on Software Engineering and Data Mining . 2010

机译：DMCDM：用于主权信用违约风险评估的动态多准则决策模型
5. Understanding default probabilities, default correlation, equity correlation, and value at risk: 150 commercial banks in the U.S. [D] . Maglin, Parinya. 2008

机译：了解违约概率，违约相关性，权益相关性和风险价值：美国150家商业银行
6. Migration and sovereign default risk a comment [O] . Pablo A. Guerron-Quintana -1

机译：迁移和主权违约风险评论
7. Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations [O] . Barnhill Theodore M., Souto Marcos Rietti 100

机译：巴西的系统性银行风险：在具有随机波动率和相关性的环境中对相关市场，信贷，主权和银行间风险的评估

Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

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