Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203265 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
SAFE Working Paper No. 7
Versionsangabe: 
This draft: November 2013
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden deposit withdrawals): banks invest in risky government bonds as a form of capital buffer against liquidity risk. The model can replicate the positive connection between sovereign and bank risk observed in the data. Central bank liquidity policy, through full allotment policy, is successful in stabilizing the spiraling feedback loops between bank and sovereign risk.
Schlagwörter: 
liquidity risk
sovereign risk
capital regulations
JEL: 
E5
G3
E6
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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