Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80490
Authors: 
Buch, Claudia M.
Koetter, Michael
Ohls, Jana
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 29/2013
Abstract: 
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across banks. Larger, weakly capitalised banks and banks with a small depositor base hold more sovereign bonds. Around 31% of all German banks hold no sovereign bonds at all. Second, the sensitivity of banks to macroeconomic factors increased significantly in the post-Lehman period. Banks hold more bonds from euro area countries, from low-inflation countries, and from countries with high sovereign bond yields. Third, there has been no marked impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for sovereign bond holdings at the onset of the sovereign debt crisis in Europe.
Subjects: 
sovereign debt
bank-level heterogeneity
bank risk
JEL: 
G11
G18
G21
G28
ISBN: 
978-386-55894-4-6
Document Type: 
Working Paper

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