Sovereign default risk and state-owned bank fragility in
emerging markets: evidence from China and Russia

J 2016

Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia

DEEV, Oleg a Martin HODULA

Základní údaje

Originální název

Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia

Autoři

DEEV, Oleg a Martin HODULA

Vydání

Post-Communist Economies, Oxfordshire, England, Taylor & Francis, 2016, 1463-1377

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50600 5.6 Political science

Stát vydavatele

Velká Británie a Severní Irsko

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 0.721

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/16:00089164

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

sovereign default risk; bank default risk; CDS; emerging markets; risk transfer; financial stability

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 1. 3. 2018 15:55, Oleg Deev, Ph.D.

Anotace

V originále

In this paper we investigate the interdependence of the sovereign default risk and banking system fragility in two major emerging markets, China and Russia, using credit default swaps as a proxy for default risk. Both countries’ banking industries have strong ties with their governments and public sector, even after a series of significant reforms in the last two decades. Our analysis is built on the case studies of each country’s two biggest banks. We employ a bivariate vector autoregressive (VAR) and vector error correction (VECM) framework to analyse the short- and long-run dynamics of the chosen CDS prices. We use Granger causality to describe the direction of the discovered dynamics. We find evidence of a stable long-run relationship between sovereign and bank CDS spreads in the chosen time period. The more stable relationship is found in cases where the biggest state-owned universal banks in emerging markets are closely managed by the government. But the fragility of those banks does not directly affect the state of public finances. However, in cases where state-owned banks directly participate in large governmental projects, banking fragility may result in the deterioration of state funds, while raising the risk of sovereign default.

Návaznosti

MUNI/A/1127/2014, interní kód MU

Název: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí

Investor: Masarykova univerzita, Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

DEEV, Oleg a Martin HODULA. Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia. Post-Communist Economies. Oxfordshire, England: Taylor & Francis, 2016, roč. 28, č. 2, s. 232-248. ISSN 1463-1377. Dostupné z: https://doi.org/10.1080/14631377.2016.1164438.

@article{1316281,
   author = {Deev, Oleg and Hodula, Martin},
   article_location = {Oxfordshire, England},
   article_number = {2},
   doi = {https://doi.org/10.1080/14631377.2016.1164438},
   keywords = {sovereign default risk; bank default risk; CDS; emerging markets; risk transfer; financial stability},
   language = {eng},
   issn = {1463-1377},
   journal = {Post-Communist Economies},
   title = {Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia},
   url = {http://www.tandfonline.com/doi/full/10.1080/14631377.2016.1164438},
   volume = {28},
   year = {2016}
}

TY  - JOUR
ID  - 1316281
AU  - Deev, Oleg - Hodula, Martin
PY  - 2016
TI  - Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia
JF  - Post-Communist Economies
VL  - 28
IS  - 2
SP  - 232-248
EP  - 232-248
PB  - Taylor & Francis
SN  - 14631377
KW  - sovereign default risk
KW  - bank default risk
KW  - CDS
KW  - emerging markets
KW  - risk transfer
KW  - financial stability
UR  - http://www.tandfonline.com/doi/full/10.1080/14631377.2016.1164438
N2  - In this paper we investigate the interdependence of the sovereign default risk and banking system fragility in two major emerging markets, China and Russia, using credit default swaps as a proxy for default risk. Both countries’ banking industries have strong ties with their governments and public sector, even after a series of significant reforms in the last two decades. Our analysis is built on the case studies of each country’s two biggest banks. We employ a bivariate vector autoregressive (VAR) and vector error correction (VECM) framework to analyse the short- and long-run dynamics of the chosen CDS prices. We use Granger causality to describe the direction of the discovered dynamics. We find evidence of a stable long-run relationship between sovereign and bank CDS spreads in the chosen time period. The more stable relationship is found in cases where the biggest state-owned universal banks in emerging markets are closely managed by the government. But the fragility of those banks does not directly affect the state of public finances. However, in cases where state-owned banks directly participate in large governmental projects, banking fragility may result in the deterioration of state funds, while raising the risk of sovereign default.
ER  -

DEEV, Oleg a Martin HODULA. Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia. \textit{Post-Communist Economies}. Oxfordshire, England: Taylor \&{} Francis, 2016, roč.~28, č.~2, s.~232-248. ISSN~1463-1377. Dostupné z: https://doi.org/10.1080/14631377.2016.1164438.

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