| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16628 |
| DP16628 Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives | |
| Viral Acharya; Timothy Johnson | |
| 发表日期 | 2021-10-13 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection aggressively at the onset of the crisis, but started covering their positions at its height while simultaneously shifting their assets towards sovereign bonds and loans. Our findings underscore the importance of accounting for derivatives exposure in building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk |
| 主题 | Financial Economics |
| 关键词 | Credit derivatives Credit default swaps Sovereign credit risk Eurozone Sovereign debt crisis Depository trust and clearing corporation (dtcc) |
| URL | https://cepr.org/publications/dp16628 |
| 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/545570 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Timothy Johnson. DP16628 Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives. 2021. |
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