Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193518
Authors: 
Altavilla, Carlo
Pagano, Marco
Simonelli, Saverio
Year of Publication: 
2016
Series/Report no.: 
ESRB Working Paper Series 11
Abstract: 
Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the causes and effects of banks' sovereign exposures during and after the euro crisis. First, in the vulnerable countries, 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 cannot be ascribed to spurious correlation or reverse causality.
Subjects: 
sovereign exposures
sovereign risk
credit risk
diabolic loop
lending
euro debt crisis
JEL: 
E44
F3
G01
G21
H63
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-38-3
Document Type: 
Working Paper
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