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  • 标题:How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices
  • 本地全文:下载
  • 作者:Heather D. Gibson ; Stephen G. Hall ; George S.Tavlas
  • 期刊名称:Discussion Papers / University of Leicester, Department of Economics
  • 出版年度:2014
  • 出版社:Leicester
  • 摘要:We quantify the linkages among banks’ equity performance and indicators of sovereign stress by using panel GMM to estimate a three-equation system that examines the impact of sovereign stress, as reflected in both sovereign spreads and sovereign ratings, on bank share prices. We use data for a panel of five euro-area stressed countries. Our findings indicate that a long-run recursive relationship between sovereigns and banks operated during the euro-area crisis. Specifically, for the five crisis countries considered shocks to sovereign spreads fed-through to sovereign ratings, which affected commercial banks. Our results also point to the importance of using levels of equity prices -- rather than rates of return -- in measuring banks’ performance. The use of levels allows us to derive the determinants of long-run equity prices.
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