Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?
Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. However, the question of whether sovereigns pay a premium on their own borrowing as a r...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 14/20 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. However, the question of whether sovereigns pay a premium on their own borrowing as a result of (implicitly or explicitly) guaranteeing sub-entities' debt has been explored only little. We use an event study approach with separate equations for two levels of government to test for a simultaneous increase in sovereign risk premia and decrease in sub-national risk premia-or a de facto transfer of risk from the latter to the former-on the day a sovereign bailout is announced. Using daily financial market data for Spain and its autonomous regions from January 2010 to June 2013, we find support for our risk transfer hypothesis. We estimate that the Spanish sovereign's spread may have increased by around 70 basis points as a result of the central government's support for fiscally distressed comunidades autónomas |
| Beschreibung: | 1 Online-Ressource (29 p) |
| ISBN: | 1484398874 9781484398876 |
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| index_date | 2024-07-03T20:13:13Z |
| indexdate | 2024-07-10T09:35:20Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Jenkner, E. Verfasser aut Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? Jenkner, E Washington, D.C International Monetary Fund 2014 1 Online-Ressource (29 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/20 Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. However, the question of whether sovereigns pay a premium on their own borrowing as a result of (implicitly or explicitly) guaranteeing sub-entities' debt has been explored only little. We use an event study approach with separate equations for two levels of government to test for a simultaneous increase in sovereign risk premia and decrease in sub-national risk premia-or a de facto transfer of risk from the latter to the former-on the day a sovereign bailout is announced. Using daily financial market data for Spain and its autonomous regions from January 2010 to June 2013, we find support for our risk transfer hypothesis. We estimate that the Spanish sovereign's spread may have increased by around 70 basis points as a result of the central government's support for fiscally distressed comunidades autónomas Online-Ausg Lu, Zhongjin Sonstige oth http://elibrary.imf.org/view/IMF001/21125-9781484398876/21125-9781484398876/21125-9781484398876.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Jenkner, E. Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? |
| title | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? |
| title_auth | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? |
| title_exact_search | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? |
| title_exact_search_txtP | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? |
| title_full | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? Jenkner, E |
| title_fullStr | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? Jenkner, E |
| title_full_unstemmed | Sub-National Credit Risk and Sovereign Bailouts Who Pays the Premium? Jenkner, E |
| title_short | Sub-National Credit Risk and Sovereign Bailouts |
| title_sort | sub national credit risk and sovereign bailouts who pays the premium |
| title_sub | Who Pays the Premium? |
| url | http://elibrary.imf.org/view/IMF001/21125-9781484398876/21125-9781484398876/21125-9781484398876.xml |
| work_keys_str_mv | AT jenknere subnationalcreditriskandsovereignbailoutswhopaysthepremium AT luzhongjin subnationalcreditriskandsovereignbailoutswhopaysthepremium |