Abinzano Guillén, María IsabelCorredor Casado, María PilarMansilla Fernández, José Manuel2022-04-122022-04-1220211544-612310.1016/j.frl.2021.102600https://academica-e.unavarra.es/handle/2454/42760This 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.7 p.application/pdfeng© 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 InternationalBank credit-riskDynamic panel dataEurozone banksSovereign debtinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessAcceso abierto / Sarbide irekia