Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2023-06-01 DOI:10.1016/j.mulfin.2023.100800

Marta Gómez-Puig , Mary Pieterse-Bloem , Simón Sosvilla-Rivero

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引用次数: 1

Abstract

We examine the dynamic interconnections between sovereign credit and liquidity risks in ten euro area countries at the 5-year maturity with daily CDS data from IHS Markit and high-frequency data from MTS between 2008 and 2018 using the extended TVP-VAR connectedness approach of Antonakakis et al. (2020). We find that, for most of the period, net connectedness is from credit risk to liquidity risk, but this indicator is time-dependent, detecting some episodes where it goes from liquidity risk to credit risk. We set up an event study and discover that most of the latter episodes can be related to several unconventional monetary policy measures of the ECB. Then, we examine the drivers of the connectedness indicator using a Probit model. Our results suggest that a decline in global funding liquidity, monetary policy shocks and economic policy uncertainty increase the probability of risk transmission from liquidity to credit, while tensions in financial markets and the deterioration of fiscal sustainability are factors that reduce such a probability.

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欧元区主权债务市场信用风险与流动性风险的动态关联性

我们使用Antonakakis等人(2020)的扩展tpv - var连通性方法，利用IHS Markit的每日CDS数据和MTS在2008年至2018年间的高频数据，研究了10个欧元区国家5年期主权信用和流动性风险之间的动态相互关系。我们发现，在大多数时期，净连通性是从信用风险到流动性风险，但这个指标是时间相关的，检测到从流动性风险到信用风险的一些事件。我们建立了一项事件研究，发现后一阶段的大多数事件可能与欧洲央行的几项非常规货币政策措施有关。然后，我们使用Probit模型检查连通性指标的驱动因素。我们的研究结果表明，全球资金流动性的下降、货币政策冲击和经济政策的不确定性增加了风险从流动性向信贷传导的可能性，而金融市场的紧张局势和财政可持续性的恶化是降低这种可能性的因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.