Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone

Date

2021

Director

Publisher

Elsevier
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión publicada / Argitaratu den bertsioa

Project identifier

  • AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/ recolecta
Impacto

Abstract

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.

Description

Keywords

Bank credit-risk, Dynamic panel data, Eurozone banks, Sovereign debt

Department

Enpresen Kudeaketa / Institute for Advanced Research in Business and Economics - INARBE / Gestión de Empresas

Faculty/School

Degree

Doctorate program

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© 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Licencia

Los documentos de Academica-e están protegidos por derechos de autor con todos los derechos reservados, a no ser que se indique lo contrario.