Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Nikolay Hristov, Oliver Hülsewig and Johann Scharler
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Nikolay Hristov: Deutsche Bundesbank and CESifo

International Journal of Central Banking, 2021, vol. 17, issue 3, 337-383

Abstract: We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to nonstandard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e., the exposure of banks to the debt issued by the national government. Our results suggest that euro-area crisis countries' banks enlarged their exposure to domestic sovereign debt after innovations related to unconventional monetary policy. Moreover, the restructuring of sovereign debt portfolios was characterized by a home bias.

JEL-codes: C32 E30 E52 G21 H63 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus (2020)
Working Paper: Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2021:q:3:a:8

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