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首页> 外文期刊>The North American journal of economics and finance >The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis
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The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis

机译：周边欧元区的主权银行Nexus：来自偶然要求分析的进一步证据

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摘要

New evidence is presented on the nexus between the sovereign and banking sector risk. Applying the contingent claims methodology to the peripheral euro area countries over the 2004Q4-2013Q2 period, we build indicators of sovereign and bank risk and assess their interconnection in comparison with existing market-based indicators of bank and sovereign distress. We use three different statistical measures of interdependence based on principal components analysis, Granger causality framework and Diebold-Yilmaz's connectedness index. The empirical results show strong interconnection and co-movement between country-level banking and sovereign risk indicators. We also find evidence of bi-directional bank-sovereign causal linkages only for Spain during the European sovereign debt crisis period. For the late crisis period, we detect weak interrelationship and more divergence across the various risk indicators. Our findings indicate that secondary and derivatives market indices are more driven by common underlying factors than are contingent claim based risk measures. Finally, our results also suggest that market participants risk appetite was the main channel of risk transmission between sovereigns and banks for the countries under study during the sample period.
机译：在主权和银行部门风险之间提供新的证据。在2004 Q4-2013Q2期间将宪法索赔方法应用于外围欧元区国家，我们建立了主权和银行风险指标，并与现有的银行和主权危机的基于市场指标相比评估其互连。我们根据主要成分分析，格兰杰因果关系框架和Diebold-yilmaz的关联指数使用三种不同的相互依存统计测量。经验结果表明了国家层面银行和主权风险指标之间的强大互连和合作。我们还在欧洲主权债务危机期间仅针对西班牙找到双向银行的因果关系的证据。对于危机后期，我们发现各种风险指标的弱相互关系和更多的分歧。我们的调查结果表明，次要和衍生品的市场指数比普通潜在的因素更多的是基于符合索赔的风险措施。最后，我们的结果还表明市场参与者风险偏好是在样本期间在研究期间的各国主权和银行之间的风险传播的主要渠道。

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