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dc.contributor.advisor33
dc.contributor.authorChari, Anusha
dc.contributor.authorGarcés, Felipe
dc.contributor.authorMartínez, Juan Francisco
dc.contributor.authorValenzuela, Patricio
dc.coverageDOI: 10.1016/j.jfs.2024.101235
dc.date2024
dc.date.accessioned05-01-2026 18:07
dc.date.available05-01-2026 18:07
dc.date.issued33
dc.description.abstractThis study explores the relationship between sovereign credit risk, banking fragility, and global financial factors in a large panel database of emerging market economies. To measure banking fragility, we construct a novel model-based semi-parametric metric (JLoss) that computes the expected joint loss of the banking sector in each country conditional on a country-level systemic event. Our metric of banking fragility is positively associated with sovereign credit spreads, after controlling for the standard determinants of sovereign credit risk, a comprehensive set of measures of systemic risk, and country and time fixed effects. The results additionally indicate that countries with more fragile banking sectors are more exposed to global (exogenous) financial factors than those with more resilient banking sectors. These findings underscore that regulators must ensure the stability of the banking sector to improve governments’ borrowing costs in international debt markets.
dc.identifierhttps://investigadores.uandes.cl/en/publications/a69a796f-6bf5-4127-ad7b-6511b65baf60
dc.identifier.citation33
dc.identifier.uri33
dc.languageeng
dc.language.iso33
dc.publisher33
dc.relation33
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.sourcevol.72 (2024)
dc.subjectBanks
dc.subjectCredit ratings
dc.subjectCredit risk
dc.subjectEmerging economies
dc.subjectGlobal factors
dc.title33
dc.titleSovereign credit spreads, banking fragility, and global factorseng
dc.title33spa
dc.title33und
dc.type33
dc.typeArticleeng
dc.typeArtículospa
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