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The relation between systemically important financial institutions and sovereign risk : evidence from the Netherlands and Belgium

Zettechelme, G.L. (2012) The relation between systemically important financial institutions and sovereign risk : evidence from the Netherlands and Belgium.

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Abstract:I studied the impact of global systemically important banks (G-SIBs) on sovereign bond spreads in the Netherlands and Belgium since 2002. The size of G-SIBs is indirectly, by interacting with a global risk factor, a determinant of the Dutch spread. When global risk increases, a larger size of systemically important banks in the Netherlands leads to a widening in its yield spreads. This suggests that financial markets perceive a larger risk that the government will have to rescue these banks with public money and therefore increasing sovereign risk. On the contrary, government’s funding conditions in Belgium seem to improve with the size of systemically important banks.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
Link to this item:http://purl.utwente.nl/essays/62494
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