期刊
JOURNAL OF FINANCIAL MARKETS
卷 42, 期 -, 页码 121-142出版社
ELSEVIER
DOI: 10.1016/j.finmar.2018.11.001
关键词
Financial crisis; Debt crisis; Financial-sovereign linkages; Credit risk transmission; Network modeling
资金
- Australian Research Council [DE150100708]
- Australian Research Council [DE150100708] Funding Source: Australian Research Council
We develop an empirical network model to study credit risk spillovers among a group of eighteen sovereigns and their financial sectors from 2006 to 2015. Initially a net source of credit risk, the financial sector becomes a net recipient after the 2008 financial sector bailouts in many countries. Fiscal fundamentals explain much of the heterogeneity in financial-sovereign spillovers over this period. The subsequent European sovereign bailouts disrupt the feedback between sovereign risk and local financial sector risk. Depending on the initial fiscal position of the target country, sovereign bailouts may also disrupt international credit risk spillovers originating from the target sovereign. (C) 2018 Elsevier B.V. All rights reserved.
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