Hu, Haoshen
[VerfasserIn]
;
Prokop, Jörg
[Sonstige Person, Familie und Körperschaft];
Trautwein, Hans‐Michael
[Sonstige Person, Familie und Körperschaft]
Sovereign Risk Spillover Effects and the Role of Systemically Important Financial Institutions
: Evidence from the European Debt Crisis
Anmerkungen:
In: ZenTra Working Paper in Transnational Studies No. 69/2016
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 23, 2016 erstellt
Beschreibung:
We analyse two-way spillover effects between sovereign ratings and bank ratings across 17 Eurozone countries for the period 2002-2013. We show that sovereign rating actions including watchlist placements and outlooks have a significant impact on bank ratings. During the financial crisis, downgrade spillovers from sovereigns to systematically important financial institutions (SIFIs) are stronger than spillovers to non-SIFIs. Moreover, we provide evidence on the existence of a bank-to-sovereign rating transmission channel. Downgrades of SIFIs increase the probability of multiple-notch downgrades of sovereign ratings. Dividing the sample into PIIGS and non-PIIGS subsets, we find bank-to-sovereign spillovers to exist only in the PIIGS subsample