Bank exposures and sovereign stress transmission

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFS Working Paper Series ; No. 539

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; National Debt; Debt Management; Sovereign Debt
• Subject: sovereign exposures ; sovereign risk ; bank lending ; credit risk ; euro ; crisis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Altavilla, Carlo ; Pagano, Marco ; Simonelli, Saverio
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (where): Frankfurt a. M.
• (when): 2016

Further information

• DOI: doi:10.2139/ssrn.2848937
• Handle: http://hdl.handle.net/10419/146920
• URN: urn:nbn:de:hebis:30:3-416210
• Last update: 10.03.2025, 11:44 AM CET