An Empirical Study of International Spillover of Sovereign Risk to Bank Credit Risk
研究了主权评级下调通过评级渠道和资产持有渠道对银行信用风险的国际溢出效应，发现GIIPS国家主权降级导致外围国家银行评级下调，且持有GIIPS债务越多，跨境银行信用风险越高。
Abstract The severity and complexity of the recent financial crisis has motivated the need for understanding the relationships between sovereign ratings and bank credit ratings. This is the first study to examine the impact of the “ international ” spillover of sovereign risk to bank credit risk through both a ratings channel and an asset holdings channel. In the first case, the downgrade of sovereign ratings in GIIPS (Greece, Italy, Ireland, Portugal, and Spain) countries leads to rating downgrades of banks in the peripheral countries. The second channel indicates that larger asset holdings of GIIPS debt increases the credit risk of cross‐border banks, and hence, the probabilities of downgrade.