The Impacts of Bank Sovereign Exposures on Systemic Risk:An Empirical Study of European Banks

• Main Authors: SUN, YU-HUI, 孫鈺惠
• Other Authors: CHEN, SHENG-HUNG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/7uhg2u

碩士 === 國立高雄科技大學 === 國際企業系 === 107 === After 2008 Global Financial Crisis and 2009 European Sovereign Debt Crisis, the global banking industry has become more rigorous in implementing the prudential supervision on banking system. However, based on the geographical relationship among European countries and euro zone, European banks are close to the sovereign bonds and loans by connecting with interrelationship between sovereignty and bank (Sovereign-Bank Nexus). With the increasing advocate on supervision reform, the issue about banks holding government sovereign debt have gradually been addressed. Most previous literature had discussed the pressure of banks holding government sovereign debts but rarely shed the perspective to bank system risks. Using the semi-annual supervision data on 129 banks (including commercial banks, savings banks, and holding banks) in 25 European countries from the European Banking Regulatory Authority (EBA) over 2015 to 2017, this thesis empirically investigates the impact of national sovereign exposures on bank systemic risk. In addition, the amounts of sovereign exposure are classified by financial assets under the category of loans and investments, and two types of bank risk are used for Systemic Risk (SRISK) and Long-Term Marginal Expected Capital Shortage (LRMES). Empirical results indicate that bank sovereign exposures in terms of weights and overall exposures significantly increase bank systemic risk while European banks show high preference on national exposures to investment in comparison to loans.