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EnglishWe verify the effects of sovereign rating revisions on the activity of European banks, in terms of their regulatory capital ratio, profitability, liquidity, and lending supply. First, we find that a sovereign downgrade has a significant impact, primarily on capital ratios and lending supply. In contrast, upgrades do not have a significant impact, indicating an asymmetric effect of sovereign rating changes. Second, we find that three transmission channels (assets channel, funding channel, and rating channel) explain a relevant part of the impact of a sovereign downgrade. Finally, we find strong evidence that the rating-based regulation affects all measures of the activity of domestic banks, causing negative externalities for financial institutions. Our results hold also controlling for sovereign risk, estimating a GMM system, and employing an instrumental variable approach.
The impact of sovereign rating changes on the activity of European banks / Drago, Danilo; Gallo, R.. - In: JOURNAL OF BANKING & FINANCE. - ISSN 0378-4266. - 85(2017), pp. 99-112.
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| Titolo: | The impact of sovereign rating changes on the activity of European banks |
| Autori: | |
| Data di pubblicazione: | 2017 |
| Rivista: | |
| Citazione: | The impact of sovereign rating changes on the activity of European banks / Drago, Danilo; Gallo, R.. - In: JOURNAL OF BANKING & FINANCE. - ISSN 0378-4266. - 85(2017), pp. 99-112. |
| Handle: | http://hdl.handle.net/20.500.11770/137095 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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