BRRD是否减轻了银行对国家风险道的风险?
Martien Lamers1, Thomas Present1, Nicolas Soenen1
1Department of Economics, Ghent University, Ghent, Belgium.
PloS one
|April 16, 2024
概括
银行恢复和解决指令 (BRRD) 已成功减少了欧元区银行向主权国转移的信用风险. 金融市场认为BRRD救助框架是可信的,减少了银行与主权风险联系.
科学领域:
- 金融经济学 金融经济学
- 银行法规 银行法规
- 主权债务 主权债务
背景情况:
- 银行和主权国家的相互联系带来系统性风险,特别明显在欧元区主权债务危机期间.
- 银行复苏与解决指令 (BRRD) 是通过为破产银行提供解决框架来加强金融稳定而实施的.
- 评估像BRRD这样的监管干预措施在分离银行和主权信贷风险方面的有效性对于金融稳定至关重要.
研究的目的:
- 调查BRRD在缓解银行向国家信用风险转移方面的有效性.
- 确定金融市场是否认为BRRD救助框架是可信的.
- 分析BRRD对银行主权风险联系的影响,特别是在边缘欧元区国家.
主要方法:
- 利用信用违约互换 (CDS) 差额来衡量8个欧元区国家的43家银行 (2009-2020) 的银行和主权信用风险.
- 采用一种新的方法,使用银行收益公告来识别银行信贷风险的外部冲击.
- 在BRRD时代之前和期间,比较银行对主权风险转移.
主要成果:
- 随着BRRD的引入,银行对主权的风险转移显著减少.
- 风险传播的减少在意大利和西班牙等欧元区边缘国家最为明显.
- 观察到的减少与BRRD的议会批准有关,而不是欧洲央行的OMT计划或特定的bail-in/bailout事件.
- 全球系统重要银行 (G-SIB) 在风险转移方面表现出最显著的减少,突出了巴塞尔III资本缓冲的作用.
结论:
- BRRD似乎有效地减少了银行对国家信用风险的转移,这表明市场对内部救助框架的信心.
- BRRD加强了金融性,特别是在历史上有着强大的银行-主权联系的国家.
- 根据巴塞尔III,对G-SIB增强的资本要求进一步有助于减轻系统性风险.
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