Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153944
Authors: 
Cimadomo, Jacopo
Hauptmeier, Sebastian
Zimmermann, Tom
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1511
Abstract: 
We empirically investigate the effects of fiscal policy on bank balance sheets, focusing on episodes of fiscal consolidation. To this aim, we employ a very large data set of individual banks' balance sheets, combined with a newly compiled data set on fiscal consolidations. We find that standard capital adequacy ratios such as the Tier-1 ratio tend to improve following episodes of fiscal consolidation. Our results suggest that this improvement results from a portfolio re-balancing from private to public debt securities which reduces the risk-weighted value of assets. In fact, if fiscal adjustment efforts are perceived as structural policy changes that improve the sustainability of public finances and, therefore, reduces credit risk, the banks' demand for government securities should increases relative to other assets.
Subjects: 
bank balance sheets
banking stability
Fiscal consolidations
portfolio re-balancing
JEL: 
E62
G11
G21
H30
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.