Αγορές CDS τραπεζών και εθνών και αλληλεξαρτήσεις
Sovereign and bank CDS markets and interlinkages
SubjectΔιεθνής οικονομία ; Τράπεζες και τραπεζικές εργασίες ; Πιστωτικός κίνδυνος ; Ομόλογα ; International finance ; Banks and banking ; Credit risk ; Granger causality
The sovereign-bank interlinkages have strongly drawn investment community’s attention mainly on the Credit Default Swaps (CDS) market. The purpose of this paper is to describe mechanisms of spillover of risk and the two-way feedback that is present between bank and sovereign credit risk. Furthermore, we will examine the empirical aspects of these relationships with quantitative methods for 10 European Union (EU) countries, 20 corresponding (EU) investment houses (banks) coming from the same countries, and 3 general trend indices. These methods will control for panel unit roots, panel cointegration tests, panel Granger causality test with newly Dumitrescu-Hurlin (2012) approach, and also Granger causality Block Exogeneity test and impulse responses functions both derived from a VECM system. The fundamental objective is to search for this bank-sovereign interdependency on risk among examined entities and all these with CDS spread as a proxy of default risk. More precisely we intend to restrict all this analysis to the context of CDS market efficiency, using panel data. Efficiencies are found in the weak form hypothesis of random walk. However characteristic is the finding that causalities exist and so on inefficiencies make their presence in the market in the semi-strong form. This finding is giving lifetime in order to make a forecast and also this is a trading signal for the exercise of arbitrage mechanism synergeticly with a strategy of raising the alarm watching for any innovative information that will cause distress in the market equilibrium. Lastly one important output of this paper is not only the theoretical but also the empirical proof that the ‘first’ bank of each European state, in the long run, becomes more independent and its explaining behavior over the sovereign spread is weakened. Probably that is attributed to the bank bailouts, from the governments, which strengthened them bravely indeed.