Publication: Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone
| dc.contributor.author | Abinzano Guillén, María Isabel | |
| dc.contributor.author | Corredor Casado, María Pilar | |
| dc.contributor.author | Mansilla Fernández, José Manuel | |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.contributor.department | Institute for Advanced Research in Business and Economics - INARBE | en |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.date.accessioned | 2022-04-12T10:44:03Z | |
| dc.date.available | 2022-04-12T10:44:03Z | |
| dc.date.issued | 2021 | |
| dc.description.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. | en |
| dc.description.sponsorship | We gratefully acknowledge financial support from grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033. | en |
| dc.format.extent | 7 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1016/j.frl.2021.102600 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/42760 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Finance Research Letters, December 2021 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/ | en |
| dc.relation.publisherversion | https://doi.org/10.1016/j.frl.2021.102600 | |
| dc.rights | © 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Bank credit-risk | en |
| dc.subject | Dynamic panel data | en |
| dc.subject | Eurozone banks | en |
| dc.subject | Sovereign debt | en |
| dc.title | Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/publishedVersion | en |
| dc.type.version | Versión publicada / Argitaratu den bertsioa | es |
| dspace.entity.type | Publication | |
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