Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146920
Authors: 
Altavilla, Carlo
Pagano, Marco
Simonelli, Saverio
Year of Publication: 
2016
Series/Report no.: 
CFS Working Paper Series 539
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.
Subjects: 
sovereign exposures
sovereign risk
bank lending
credit risk
euro
crisis
JEL: 
E44
F3
G01
G21
H63
Document Type: 
Working Paper

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