| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21150 |
| 来源ID | Working Paper 21150 |
| Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis | |
| Andrea Beltratti; René M. Stulz | |
| 发表日期 | 2015-05-11 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of borrowing of these countries on EU banks from other countries. A CDS tail return affects banks with greater exposure to the country experiencing that return more, but it has an impact on banks regardless of exposure. Shocks to peripheral countries that are more pervasive impact the returns of banks from countries that experience no shock more than shocks to small individual peripheral countries. In general, the impact of tail returns is asymmetric in that banks suffer less from adverse shocks to peripheral countries than they gain from favourable shocks to such countries. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w21150 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578825 |
| 推荐引用方式 GB/T 7714 | Andrea Beltratti,René M. Stulz. Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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