Keywords
Riesgo de crédito soberano Mercado de acciones Transferencia de riesgo público a privado, Subprime and sovereign debt crisis Sovereign credit risk Stock markets Price discovery Public to private risk transfer
Financial crises and the transfer of risk between the private and public sectors: evidence from European financial markets
Abstract
La reciente crisis financiera en Europa ha sido especialmente interesante, porque comenzó principalmente en el sector bancario (privado) pero posteriormente involucró al sector público (crisis soberana). Debido a que el precio de los activos financieros debería reflejar los riesgos asociados a dicho activo, se espera que la relación entre los mercados financieros relativa a "privado" a "público" tienda a cambiar fundamentalmente durante la crisis: el mercado privado debería incorporar la información durante los primeros años de la crisis mientras que durante la crisis el riesgo soberano debería ser el protagonista. En este artículo se investiga quien lidera el proceso de incorporación de la información explorando la relación entre el mercado de CDS soberano, el mercado de bonos y el índice de la bolsa de trece países europeos durante el período 2008-2012. Los resultados sugieren que durante el período 2008-2009 la bolsa lidera el proceso de información, durante el año 2010 es el CDS soberano quien incorpora antes la información, poniendo de manifiesto una transferencia del riesgo de lo privado a lo público durante la crisis subprime y de lo público a lo privado en la crisis de deuda soberana. Además, los análisis realizados señalan que el papel del CDS soberano respecto a los otros dos mercados se mantiene dependiente, esto es, el CDS soberano juega un papel más fuerte en aquellas economías donde el riesgo de mercado es mayor. Además a través de una metodología de Price Discovery los resultados muestran que durante los años 2007-2009 el CDS español lidera el proceso de información mientras que en 2011 el italiano y el francés lo relevan en el papel de líder. Estos datos son consistentes con el volumen de negociación en el mercado de CDS.
The recent financial crisis in Europe has been especially interesting, since it started mainly as a private sector (banking) phenomenon but then evolved into a public (sovereign debt) crisis. Given that prices of a financial asset must reflect the risks associated to said asset, we expect the relationship between financial markets related to private and public assets to have changed fundamentally during the crisis: private markets should have led the incorporation of information during the early years of the crisis whereas the markets for government securities should have attained preeminence during the years of the sovereign debt crisis. We investigate this change in the leading role of information (risk) incorporation by looking at the relationships between the markets for sovereign CDSs, sovereign bonds and equity for thirteen European countries during the period 2008 2012. Our results suggest that during 2008 2009 equity markets led the process of incorporation of new information but during 2010 this leading role was assumed by sovereign CDS markets, thus suggesting a private-to-public risk transfer during the subprime crisis and a reversal to a public-to-private risk transfer during the sovereign debt crisis. In supplementary analyses we show, first, that the role of CDSs with respect to the other two markets is state dependent, i.e., sovereign CDSs play a stronger role in economies with higher perceived credit risk. Second, we perform a price discovery analysis between CDS markets of the different European countries, showing evidence that during the years 2007 2009 the Spanish CDSs led the price discovery process, while the Italian and French CDSs took over in 2011, results which are consistent with trading volume in the CDS markets.
The recent financial crisis in Europe has been especially interesting, since it started mainly as a private sector (banking) phenomenon but then evolved into a public (sovereign debt) crisis. Given that prices of a financial asset must reflect the risks associated to said asset, we expect the relationship between financial markets related to private and public assets to have changed fundamentally during the crisis: private markets should have led the incorporation of information during the early years of the crisis whereas the markets for government securities should have attained preeminence during the years of the sovereign debt crisis. We investigate this change in the leading role of information (risk) incorporation by looking at the relationships between the markets for sovereign CDSs, sovereign bonds and equity for thirteen European countries during the period 2008 2012. Our results suggest that during 2008 2009 equity markets led the process of incorporation of new information but during 2010 this leading role was assumed by sovereign CDS markets, thus suggesting a private-to-public risk transfer during the subprime crisis and a reversal to a public-to-private risk transfer during the sovereign debt crisis. In supplementary analyses we show, first, that the role of CDSs with respect to the other two markets is state dependent, i.e., sovereign CDSs play a stronger role in economies with higher perceived credit risk. Second, we perform a price discovery analysis between CDS markets of the different European countries, showing evidence that during the years 2007 2009 the Spanish CDSs led the price discovery process, while the Italian and French CDSs took over in 2011, results which are consistent with trading volume in the CDS markets.
Información detallada
Materias, derechos, colecciones e identificadores