Banks’ portfolio of government debt and sovereign risk

Antonio Afonso, José Alves and Sofia Monteiro

No 2023/0289, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks’ portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks’ holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.

Keywords: Banking; Sovereign Debt; Sovereign risk; Financial crisis; Ratings. (search for similar items in EconPapers)
JEL-codes: C21 E58 G24 G32 H63 (search for similar items in EconPapers)
Date: 2023-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-ger, nep-ifn and nep-opm
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Related works:
Working Paper: Banks’ Portfolio of Government Debt and Sovereign Risk (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:remwps:wp02892023

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