文章基本信息

标题：How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices
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作者：Heather D. Gibson ; Stephen G. Hall ; George S. Tavlas 等
期刊名称：Discussion Papers / University of Leicester, Department of Economics
出版年度：2015
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’ equity-prices. 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.