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2012 | nr 3 (48) | 7--30
Tytuł artykułu

Powiązania między sektorem bankowym a kryzysem zadłużeniowym w strefie euro

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PL
Abstrakty
Artykuł składa się z pięciu części. Po wprowadzeniu, w części drugiej wskazano przesłanki angażowania się sektora bankowego w rządowe papiery wartościowe oraz zjawisko nadmiernego inwestowania w aktywa krajowe (tzw. efekt home bias2). W kolejnych punktach części trzeciej przedstawiono poszczególne kanały: rynkowy, bilansowy, gwarancji, zabezpieczeń. Następne punkty zawierają analizę wpływu pomocy państwa dla sektora finansowego, powiązania między ratingiem państwa a ratingami instytucji finansowych prowadzących działalność na jego terenie oraz wpływ strategii zarządzania długiem publicznym na kondycję sektora bankowego. W części czwartej autor nie ogranicza się do wskazania obecnych w literaturze kroków zaradczych, lecz dodatkowo proponuje własne podejście do ustalania wag ryzyka przy obliczaniu wymogu kapitałowego na szczeblu UE. Artykuł kończy podsumowanie, ze wskazaniem głównym wniosków (w tym dla Polski) oraz możliwych obszarów dalszych badań. (fragment tekstu)
EN
Interlinkages between the financial sector and the condition of the sovereign determine the existence of many transmission channels through which mutual crises can develop. To support this thesis the author analyzes the most important ones, such as market channel, asset holdings and collateral channel. In addition, the analysis points out that the government guarantees aiming at supporting the banking sector may, in the long run, turn out to be a Pyrrhic victory. Moreover, the relationships between sovereign ratings and banks' ratings, as well as sovereign debt management, can influence the health of financial system and endanger financial stability. Apart from assessing some possible remedial policy measures that reduce the negative feedback loops between the sovereign crisis and the banking sector vulnerabilities, the author proposes his own solution. Calculating the capital requirements for sovereign bonds holdings basing on risk weights, which are harmonized on the EU-level and regularly updated, would help diminish the adverse externalities affecting the condition of the financial system, arising from the increased risk of country's default. (original abstract)
Czasopismo
Rocznik
Numer
Strony
7--30
Opis fizyczny
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autor
  • Szkoła Główna Handlowa w Warszawie; Narodowy Bank Polski
Bibliografia
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  • BIS, Fiscal policy and its implications for monetary and financial stability, Monetary and Economic Department, BIS Papers No. 59, 10th BIS Annual Conference 23-24 June 2011.
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  • European Comission, The effects of temporary State aid rules adopted in the context of the financial and economic crisis, Commission Staff Working Paper SEC(2011) 1126 final, Brussels 2011.
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  • IMF, Chapter III: Structural Changes in Emerging Sovereign Debt and Implications for Financial Stability, [w:] Global Financial Stability Report, Market Developments and Issues, April 2006.
  • IMF, Global Financial Stability Report - Sovereigns, Funding, and Systemic Liquidity, October 2010.
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  • Levy A., Schich S., Sovereign Debt Challenges for Banking Systems and Bond Markets, OECD Journal: Financial Market Trends, Volume 2010 - Issue 2, OECD 2010.
  • Mody A., From Bear Stearns to Anglo Irish: How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability, IMF Working Paper WP/09/108, IMF 2009.
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  • ---
Typ dokumentu
Bibliografia
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