Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean

Noel, Dorian; Bangwayo-Skeete, Prosper; Robinson, Justin; Brei, Michael

Type de document :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.intfin.2021.101379

Titre :

Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean

Auteur(s) :

Noel, Dorian [Auteur]
Bangwayo-Skeete, Prosper [Auteur]
Robinson, Justin [Auteur]
Brei, Michael [Auteur]

Lille économie management - UMR 9221 [LEM]

Titre de la revue :

Journal of International Financial Markets, Institutions and Money

Pagination :

101379

Éditeur :

Elsevier

Date de publication :

2021-07

ISSN :

1042-4431

Mot(s)-clé(s) en anglais :

Caribbean
Central America
Bank Stability
Sovereign Risk Spill-over

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [en]

This paper examines the relationship between sovereign credit ratings and bank stability in Central America and the Caribbean (CAC). We use data on 177 banks from 24 countries for the period 1999–2014 and find that sovereign ...
Lire la suite >This paper examines the relationship between sovereign credit ratings and bank stability in Central America and the Caribbean (CAC). We use data on 177 banks from 24 countries for the period 1999–2014 and find that sovereign rating downgrades precede deterioration in bank stability. The finding highlights the importance of understanding the transmission channels and the amplification of sovereign risk spill-overs. With respect to the former, we found evidence to support both the “balance sheet exposure” and “asset valuation adjustments” arguments found in the literature. Concerning the latter, the sovereign risk spill-overs are more intense in countries with low foreign currency reserves, limited financial transparency and weak central bank independence. Our findings support the argument that banks are vulnerable to the aggravation of sovereign risk concerns and thus, the zero risk weight to sovereigns should be reviewed.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL

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