Sovereign default risk and depositor behavior. The case of Greece

Julieta Picorelli ()
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Julieta Picorelli: Universidad de Buenos Aires

Revista de Economía Política de Buenos Aires, 2014, issue 13, 109-144

Abstract: This paper studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It tests the main hypothesis during that period depositors react more to sovereign risk than to the idiosyncratic indicators of bank health. Using a quarterly panel dataset of Greek banks from June 2005 to September 2012, this paper finds that the withdrawal of deposits at the outbreak of the crisis can be mainly explained by the country risk variable, represented by sovereign spreads, controlling for bank-specific characteristics. Market discipline is also present, especially pre-crisis. Results are consistent with the existing literature and robust to different estimation methods.

Keywords: Sovereign default risk; depositor behavior; Greece (search for similar items in EconPapers)
JEL-codes: F3 F4 G1 (search for similar items in EconPapers)
Date: 2014
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