Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/215805
Authors: 
Hristov, Nikolay
Hülsewig, Oliver
Scharler, Johann
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper No. 19/2020
Abstract: 
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e. the exposure of banks to the debt issued by the national government. Our results suggest that euro area crisis countries' banks enlarged their exposure to domestic sovereign debt after innovations related to unconventional monetary policy. Moreover, the restructuring of sovereign debt portfolios was characterized by a home bias.
Subjects: 
European Central Bank
unconventional monetary policy
panel vector autoregressive model
sovereign-bank nexus
JEL: 
C32
E30
E52
E58
G21
H63
ISBN: 
978-3-95729-697-9
Document Type: 
Working Paper

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