Sovereign credit spreads, banking fragility, and global factors

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dc.coverageDOI: 10.1016/j.jfs.2024.101235
dc.creatorChari, Anusha
dc.creatorGarcés, Felipe
dc.creatorMartínez, Juan Francisco
dc.creatorValenzuela, Patricio
dc.date2024
dc.date.accessioned2025-11-18T19:44:19Z
dc.date.available2025-11-18T19:44:19Z
dc.description<p>This 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.</p>eng
dc.identifierhttps://investigadores.uandes.cl/en/publications/a69a796f-6bf5-4127-ad7b-6511b65baf60
dc.identifier.urihttps://repositorio.uandes.cl/handle/uandes/53340
dc.languageeng
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.titleSovereign credit spreads, banking fragility, and global factorseng
dc.typeArticleeng
dc.typeArtículospa
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