Corredor Casado, María Pilar

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https://academica-e.unavarra.es/handle/2454/48868

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Corredor Casado

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María Pilar

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0003-1739-0095

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88426

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421

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    PublicationOpen Access
    Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone
    (Elsevier, 2021) Abinzano Guillén, María Isabel; Corredor Casado, María Pilar; Mansilla Fernández, José Manuel; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
    This paper investigates the direct effect of sovereign debt holding on banks’ credit risk. Using individual Eurozone listed banks’ information, we find that holding sovereign debt improves the level of banks’ credit risk, but this effect is reversed when the credit risk associated with such debt is taken into account. For this purpose, we consider three alternative sovereign debt holding proxies and two types of banks’ credit-risk measures, both forward- and backward-looking. We find that the transmission of credit risk from sovereign debt holdings to banks’ credit risk is only captured when forward-looking credit-risk measures, based on market data, are used.