Arbeitspapier
Regulating the doom loop
Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform. Simulations highlight a tension between concentration and credit risk in portfolio reallocation. Resolving this tension requires regulatory reform to be complemented by an expansion in the portfolio opportunity set to include an area-wide low-risk asset. By reinvesting into such an asset, banks would reduce both their concentration and credit risk exposure.
- ISBN
-
978-92-899-3882-2
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2313
- Klassifikation
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Bank regulation
sovereign risk
systemic risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alogoskoufis, Spyros
Langfield, Sam
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- DOI
-
doi:10.2866/0731
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alogoskoufis, Spyros
- Langfield, Sam
- European Central Bank (ECB)
Entstanden
- 2019
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