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We thank two anonymous reviewers, the editor (Iftekhar Hasan), Marcelo Rezende, Andres Almazan, Mark Spiegel, Thorsten Beck, Jens Christensen, Santiago Carbo, Francisco Rodriguez, Ilknur Zer, Sergio Mayordomo, Mehdi Beyhaghi, Serafeim Tsoukas, Sergio Vicente, Victor M. Gonzalez, Ricardo Gimeno, Carlos Gonzalez, Carlo Chiarella, Oliver Rehbein, Artashes Karapetyan, Adam Spencer, Aurelio Fernandez Bariviera, M. Teresa Tascon, and all the participants at the 5 th Annual Boca-ECGI Corporate Finance and Corporate Governance Conference, 2024 FMA Annual Meeting, 2024 EFMA Annual Meeting, 13th FEBS Conference, the 2023 FMA European Annual Meeting, IBEFA 2023 (WEAI Conference), the 29th Annual Meeting of the German Finance Association, the 39th International Conference of the French Finance Association (AFFI), the 2023 International Conference in Finance, Banking, and Accounting, the 30th Annual Meeting of the Spanish Finance Association, the workshop "Current Challenges of the Corporate Governance: Reputation, Risk and Sustainability" organized by Banca March, the ACEDE Annual Meeting, and the attendees of the invited seminar at the Bank of Spain, University of Granada, University of Murcia and University Rovira i Virgili for their comments and sugges- tions. P.J. Cuadros-Solas acknowledges financial support from the Foundation Ramon Areces through the 20th National Competition for Economic Research Grants (2021). All the authors acknowledge finan- cial support from the Regional Government of Madrid - UAM Research Project for Young Researchers (SI3-PJI-2021-00276). Pedro J. Cuadros- Solas acknowledges financial support from the Spanish Ministry of Science and Innovation, Project PID2021-128994NA-I00 and TED2021- 132896A-100. N. Suarez acknowledges financial support from the Spanish Ministry of Economy and Competitiveness, Projects PID2020-118064 GB-I00 and PID2023- 149010NB-I00, and the Pro- fessorship Excellence Program through the multi-year agreement signed by the Regional government of Madrid and the Universidad Autonoma de Madrid (Line #3). This paper was awarded the Best Paper in Banking at the 30th Annual Meeting of the Spanish Finance Association.

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Banking supervisory architecture and sovereign risk

Publicado en:Journal of Financial Stability. 76 e101365- - 2025-02-01 76(), DOI: 10.1016/j.jfs.2024.101365

Autores: Cuadros-Solas, Pedro J; Salvador, Carlos; Suarez, Nuria

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This paper investigates whether the design of the banking supervisory architecture impacts sovereign risk. Exploiting the implementation of the Single Supervisory Mechanism (SSM) in Europe, we provide evidence that sovereign risk - measured by sovereign ratings - is lower after the largest banks shift from national to supranational supervision. The impact of SSM implementation is shaped by the characteristics of the banking sector and the country's institutional setting. Using specific bank-level data, we also find that increased bank resilience (banking stability) and reduced volatility of bank credit (credit stability) in the economy underlie the relationship between banking supervision and sovereign risk. The results hold when considering CDS spreads as an alternative measure of sovereign risk and after conducting several robustness tests.

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