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Banks' international assets and sovereign default risk

机译：银行的国际资产和主权违约风险

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Purpose - This paper aims to investigate the nexus between banks' foreign assets and sovereign default risk in a panel of 15 developed economies. The empirical evidence suggests that banks' foreign exposure is an important determinant of sovereign default probability.Design/methodology/approach - Using data from the consolidated banking statistics (total foreign claims on ultimate risk basis) by the Bank of International Settlements, the author constructs a measure of bank international exposure to peer countries. This measure is then used as the target variable in a panel regression for sovereign credit default swaps. The model includes 15 European and non-European developed economies. Identification is discussed extensively in the paper.Findings - Quantitatively, a 1% increase in banks' cross-border claims increases sovereign default risk by about 0.19%. The relationship is weaker when banks are more capitalised. On the other hand, governments are more vulnerable to credit risk spillovers from banks' international portfolios when having higher debt to GDP ratios.Originality/value - To the best of the author's knowledge, this is the first paper that attempts explicitly to establish an empirical connection between banks' international assets and sovereign default risk. To the author's opinion, this paper represents a contribution to our understanding of how sovereign credit risk spills over across countries. It also extends significantly the existing literature on the determinants of sovereign risk (that primarily focused on fundamentals, market characteristics - such as liquidity - and global factors). This paper ultimately sheds some new light on the role of intermediaries in the international transmission of credit risk, also adding to today's discussion about the linkages between banks and sovereigns.
机译：目的 - 本文旨在调查银行外国资产与15名发达经济体小组的国外资产和主权违约风险之间的Nexus。经验证据表明，银行的外国风险是主权违约概率的重要决定因素。作者构建衡量银行国际接触同龄国家的措施。然后将此度量用作主权信用默认交换的面板回归中的目标变量。该模型包括15个欧洲和非欧洲发达经济体。在纸张中广泛讨论鉴定。 - 定量上，银行跨境索赔的1％增加将主权违约风险提高约0.19％。当银行更为资本时，这种关系较弱。另一方面，政府在银行国际投资组合中的信用风险溢出率更容易受到GDP比率的更高债务时的信用风险溢出效应。对于提交人的知识，这是一篇试图建立经验的第一篇论文银行国际资产与主权违约风险之间的联系。向提交人的意见，本文对我们对各国跨越各国的主权信贷风险溢出的贡献贡献。它还显着扩展了主权风险决定因素的现有文献（主要专注于基本面，市场特征 - 如流动性 - 和全球因素）。本文最终阐述了中介机构在国际信用风险传播中的作用，也增加了今天关于银行和主权之间联系的讨论。

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