The Impact of Sovereign Shocks
研究主权冲击如何通过财政脆弱性和银行敞口等渠道传播，并显著且持久地影响银行集体违约概率，对金融监管者和宏观审慎政策制定者有参考价值。
This paper studies the dynamic propagation mechanisms of systemic risk shocks within and across macrosystems of governments and financial institutions. We propose a novel approach to identify relevant systemic shocks and to classify them into sovereign or banking categories. We find that sovereign shocks have a significant and persistent impact on the probability of a collective banking default. We also explore channels through which these shocks propagate and identify how sovereign fiscal fragility and banking exposure are relevant mechanisms of shock transmission. This paper was accepted by Gustavo Manso, finance.