A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
研究了银行与主权信用风险之间的循环：银行困境引发政府救助，增加主权信用风险，进而削弱银行。利用欧洲CDS数据证实2008年救助触发了主权信用风险上升，且救助后主权CDS变化能解释银行CDS变化。
ABSTRACT We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost increases sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government guarantees and bond holdings. Using credit default swap (CDS) rates on European sovereigns and banks, we show that bailouts triggered the rise of sovereign credit risk in 2008. We document that post‐bailout changes in sovereign CDS explain changes in bank CDS even after controlling for aggregate and bank‐level determinants of credit spreads, confirming the sovereign‐bank loop.