Bank exposures and sovereign stress transmission

Carlo Altavilla, Marco Pagano and Saverio Simonelli

No 539, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks' sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic public debt more than other banks, with public banks' purchases growing especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the transmission of risk from the sovereign and its impact on lending. This amplification of the impact on lending does not appear to arise from spurious correlation or reverse causality.

Keywords: sovereign exposures; sovereign risk; bank lending; credit risk; euro; crisis (search for similar items in EconPapers)
JEL-codes: E44 F3 G01 G21 H63 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/146920/1/869808028.pdf (application/pdf)

Related works:
Journal Article: Bank Exposures and Sovereign Stress Transmission (2017)
Working Paper: Bank Exposures and Sovereign Stress Transmission (2017)
Working Paper: Bank Exposures and Sovereign Stress Transmission (2016)
Working Paper: Bank exposures and sovereign stress transmission (2016)
Working Paper: Bank Exposures and Sovereign Stress Transmission (2016)
Working Paper: Bank exposures and sovereign stress transmission (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:539

DOI: 10.2139/ssrn.2848937

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().