Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154402
Authors: 
Altavilla, Carlo
Pagano, Marco
Simonelli, Saverio
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1969
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 euro crisis. First, the publicly owned, recently bailed out and less strongly capitalized banks reacted to sovereign stress by increasing their domestic sovereign holdings more than other banks, suggesting that their choices were affected both by moral suasion and by yield-seeking. Second, their 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: 
credit risk
diabolic loop
euro debt crisis
sovereign exposures
sovereign risk
JEL: 
E44
F3
G01
G21
H63
Document Type: 
Working Paper

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