IMF-银行向主权风险传导_新证据（英）-2025_27页_1mb

Bank to Sovereign Risk Transmission: New Evidence
This study investigates how credit risk from banks can transmit to sovereign debt risk, using the collapse of Silicon Valley Bank (SVB) in March 2023 as an exogenous shock. The analysis shows that a shock to the banking sector can significantly increase sovereign credit risk, especially in economies with high public debt, significant bank exposure to domestic sovereign debt, and less capitalized banking systems. This transmission is driven primarily by the implicit government safety net, as investors perceive the need for potential bailouts.

Key Findings

1. SVB Collapse Impact: The rapid failure of SVB, triggered by its imprudent risk management practices, led to a surge in banking sector credit risk. This hike in bank CDS spreads caused a statistically significant increase in U.S. sovereign CDS spreads during the crisis. The effect was short-lived due to timely intervention by authorities to prevent taxpayer losses.
2. Transmission Mechanism: The primary channel for risk transmission was through the safety net provided by governments (e.g., deposit insurance and liquidity support), rather than direct bond holdings. This reassured investors during the SVB crisis, mitigating the immediate fiscal impact.
3. Country-Specific Factors: Higher public debt-to-GDP ratios, greater bank exposure to sovereign debt, and weaker bank capitalization increased the likelihood and magnitude of risk transmission. Emerging markets experienced stronger transmission than advanced economies, often linked to underdeveloped crisis resolution frameworks.

Policy Implications

To mitigate the risk of a "doom loop" between banks and sovereigns, policymakers should:

1. Strengthen Banks and Supervision: Enhance regulatory monitoring and crisis management frameworks to prevent financial instability.
2. Contain Fiscal Vulnerabilities: Improve fiscal buffers to absorb potential banking sector stress.
3. Reduce Interdependence: Monitor and limit excessive exposures to sovereign debt, considering capital surcharges if necessary.

Methodological Approach

The research uses daily CDS spreads and credit default swap (CDS)-implied expected default frequencies (EDF) for banks and sovereigns across multiple economies. The impact of the SVB shock was isolated by analyzing a short time window (March 9–10, 2023), leveraging the exogeneity of the event to identify causality. The robustness of findings was tested using panel data and alternative specifications, ensuring their validity across various economic contexts.

Conclusion

This note confirms that adverse banking sector shocks remain a threat to sovereign finances, even after regulatory reforms. Proactive measures are essential to strengthen resilience and prevent cross-sectoral risks from escalating.