2022-12-03-IMF-新冠肺炎疫情爆发后新兴市场的主权银行关系（英）_54页_1mb
报告摘要
- The COVID-19 pandemic has intensified the sovereign-bank nexus in emerging markets (EMs), with banks significantly increasing their holdings of domestic sovereign debt.
- Key transmission channels include:
- Sovereign Exposure Channel: High sovereign distress disproportionately harms banks with larger sovereign exposures, especially those with lower capitalization, leading to reduced lending and equity losses.
- Safety Net Channel: Implicit government guarantees protect banks initially but their perceived credibility erodes over time, potentially encouraging excessive risk-taking, particularly among better-supported but less capitalized institutions.
- Macroeconomic Channel: Sovereign downgrades exacerbate funding constraints and reduce investment for bound firms (those rated near the sovereign ceiling), negatively impacting bank asset quality in EMs with higher exposures to such firms.
- The nexus disproportionately affects EMs with higher public debt and less capitalized banking systems, amplifying financial stability risks through negative feedback loops.
- Evidence suggests moral suasion (government pressure) and risk-shifting (banks taking on more risk) are key drivers for state-owned banks to hold sovereign debt.
- Policy implications include strengthening banking regulation, improving safety nets, enhancing early warning systems, and promoting fiscal sustainability to mitigate risks.
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