| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11317 |
| DP11317 The Sovereign-Bank Diabolic Loop and ESBies | |
| Dimitri Vayanos; Markus Brunnermeier; Marco Pagano; David Thesmar; Luis Garicano; Philip Lane; Tano Santos; Stijn Van Nieuwerburgh | |
| 发表日期 | 2016-06-07 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can be avoided by restricting banks' domestic sovereign exposures relative to their equity. Second, equity requirements can be lowered if banks only hold senior domestic sovereign debt. Third, such requirements shrink even further if banks only hold the senior tranche of an internationally diversified sovereign portfolio - known as ESBies in the euro-area context. Finally, ESBies generate more safe assets than domestic debt tranching alone; and, insofar as the diabolic loop is defused, the junior tranche generated by the securitization is itself risk-free. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations ; Public Economics |
| 关键词 | Diabolic loop Sovereign debt crisis Government default Bank default Bailout Esbies |
| URL | https://cepr.org/publications/dp11317 |
| 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/540133 |
| 推荐引用方式 GB/T 7714 | Dimitri Vayanos,Markus Brunnermeier,Marco Pagano,et al. DP11317 The Sovereign-Bank Diabolic Loop and ESBies. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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