Konferenzbeitrag
Banking and Sovereign Risk in the euro area
We study the determinants of bond spreads of euro area sovereigns since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. The aggregate risk factor also plays an important role for sovereign risk through its interaction with the size and structure of national banking sectors. When the aggregate risk factor increases, countries with large banking sectors and low equity ratios of the banking sector will see their yield spreads raise. Global risk-aversion hikes can therefore turn a banking sector into a systemically relevant risk to governments that can be measured in sovereign spreads. Government debt levels and forecasts of future fiscal deficits are also significant determinants of sovereign spreads.
- Language
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Englisch
- Bibliographic citation
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomics of Banking ; No. G12-V3
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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sovereign bond markets
banking
liquidity
EMU
- Event
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Geistige Schöpfung
- (who)
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Gerlach, Stefan
Schulz, Alexander
Wolff, Guntram B.
- Event
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Veröffentlichung
- (who)
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Verein für Socialpolitik
- (where)
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Frankfurt a. M.
- (when)
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2010
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Konferenzbeitrag
Associated
- Gerlach, Stefan
- Schulz, Alexander
- Wolff, Guntram B.
- Verein für Socialpolitik
Time of origin
- 2010
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