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 find evidence that sovereign risk – measured by sovereign ratings – is lower after the largest...

We examine the risk sensitiveness of minimum requirement for own funds and eligible liabilities (MREL)‐eligible debt yields in a sample of 63 European banking groups during the period 2009Q3-2019Q2 in 14 European countries. We conclude that MREL‐eligible debt is risk sensitive, as investors...