Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146920 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 539
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
sovereign exposures
sovereign risk
bank lending
credit risk
euro
crisis
JEL: 
E44
F3
G01
G21
H63
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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