| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11269 |
| DP11269 Bank Exposures and Sovereign Stress Transmission | |
| Marco Pagano; Saverio Simonelli; Carlo Altavilla | |
| 发表日期 | 2016-05-10 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the causes and effects of banks' sovereign exposures during and after the euro crisis. First, in the vulnerable countries, the publicly owned, recently bailed out and less strongly capitalized banks reacted to sovereign stress by increasing their domestic sovereign holdings more than other banks, suggesting that their choices were affected both by moral suasion and by yield-seeking. Second, their exposures significantly amplified the transmission of risk from the sovereign and its impact on lending. And this amplification of the impact on lending cannot be ascribed to spurious correlation or reverse causality. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations ; Monetary Economics and Fluctuations |
| 关键词 | Sovereign exposures Sovereign risk Credit risk Diabolic loop lending Euro debt crisis |
| URL | https://cepr.org/publications/dp11269 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540086 |
| 推荐引用方式 GB/T 7714 | Marco Pagano,Saverio Simonelli,Carlo Altavilla. DP11269 Bank Exposures and Sovereign Stress Transmission. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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