TY  - UNPD
A1  - Altavilla, Carlo
A1  - Pagano, Marco
A1  - Simonelli, Saverio
T1  - Bank exposures and sovereign stress transmission
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 539
N2  - 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 crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic public debt more than other banks, with public banks’ purchases growing especially in coincidence with the largest ECB liquidity injections. Second, bank 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.
T3  - CFS working paper series - 539 
KW  - sovereign exposures
KW  - sovereign risk
KW  - bank lending
KW  - credit risk
KW  - euro
KW  - crisis
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41621
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-416210
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2848937
N1  - First draft: July 2015. This version: 16 September 2016
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -