Artikel
Sovereign exposures of European banks: It is not all doom
We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt crisis, e.g., due to moral suasion. In the period 2015-2018, however, banks' investments in sovereign bonds are characterized by sound risk-return considerations, suggesting a lessening of the doom loop. This result is mainly driven by banks in the core European countries, as banks in the GIPS countries do not exhibit such behavior, nor do they avoid riskier bonds following the sovereign debt crisis.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 2 ; Pages: 1-24 ; Basel: MDPI
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
General Financial Markets: Government Policy and Regulation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Subject
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sovereign exposures
risk-return trade-off
bank-sovereign nexus
doom loop
Sharpe ratio
- Event
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Geistige Schöpfung
- (who)
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Lamers, Martien
Present, Thomas
Vander Vennet, Rudi
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2022
- DOI
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doi:10.3390/jrfm15020069
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Lamers, Martien
- Present, Thomas
- Vander Vennet, Rudi
- MDPI
Time of origin
- 2022
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