Politická ekonomie 2018, 66(3):366-383 | DOI: 10.18267/j.polek.1193

Bankovní sektor a státní riziko v Evropské unii

Jan Brůha, Evžen Kočenda
Jan Brůha (jan.bruha@cnb.cz), Česká národní banka, Evžen Kočenda (evzen.kocenda@fsv.cuni.cz), Univerzita Karlova, Fakulta sociálních věd; Ústav teorie informace a automatizace AV ČR; CESifo, Mnichov; IOS, Řezno

Banking Sector and Sovereign Risk in Euroepan Union

We analyze and quantify link between quality of the banking sector and sovereign risk in the states of the European Union (EU) using data over 1999-2014. We employ two market-based measures of the sovereign risk along with several empirically and theoretically motivated variables that characterize banking sector. We perform Bayesian estimations on several panels of countries. Our results show that higher ratio of the non-performing loans represents the most important industry-specific variable that is linked with a heightened rate of the sovereign risk. On the other hand, findings related to the size and depth of the banking sector, along with the capital adequacy ratio, are less clear-cut. Higher penetration of the foreign banks and higher degree of competition characterize a diversified structure of the banking industry that seems to be beneficial for the banking sector stability and is linked with lower sovereign risk.

Keywords: sovereign risk, banking sector, global financial crisis, financial stability, European Union
JEL classification: C23, E58, F15, G21, G28, H63

Accepted: May 18, 2018; Published: June 1, 2018  Show citation

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Brůha, J., & Kočenda, E. (2018). Banking Sector and Sovereign Risk in Euroepan Union. Politická ekonomie, 66(3), 366-383. doi: 10.18267/j.polek.1193
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