Bank exposures and sovereign stress transmission

  • Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic public debt more than other banks, with public banks’ purchases growing especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the transmission of risk from the sovereign and its impact on lending. This amplification of the impact on lending does not appear to arise from spurious correlation or reverse causality.

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Metadaten
Author:Carlo Altavilla, Marco Pagano, Saverio Simonelli
URN:urn:nbn:de:hebis:30:3-416210
URL:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2848937
DOI:https://doi.org/10.2139/ssrn.2848937
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 539
Series (Serial Number):CFS working paper series (539)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2016
Year of first Publication:2016
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2016/10/18
Tag:bank lending; credit risk; crisis; euro; sovereign exposures; sovereign risk
Page Number:64
Note:
First draft: July 2015. This version: 16 September 2016
HeBIS-PPN:39027089X
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht