Government Guarantees Behind Banks : International
نویسنده
چکیده
To gauge governments’ contingent liabilities behind banking systems, we employ: Sovereign ratings (SOVBD); bank’s financial strength ratings (assessing solidity without external support; BFSR); bank’s overall credit ratings (government support reduces default probabilities; BDCR). We find: 1) BDCR and SOVBD are positively correlated, much more in developing countries, where sovereign guarantees may reduce banks’ cost of capital; 2) our new government liability index (LI), decomposing BDCR into the contributions of BFSR and SOVBD, implies large potential liabilities; 3) institutional arrangements affect LI, moral hazard and systemic risks at banks; 4) contrary to high-income countries, only SOVBD causes BDCR in developing countries. JEL Classification: G2, G3
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تاریخ انتشار 2004