Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone
Fecha
2021Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión publicada / Argitaratu den bertsioa
Identificador del proyecto
Impacto
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10.1016/j.frl.2021.102600
Resumen
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 ...
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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. [--]
Materias
Bank credit-risk,
Dynamic panel data,
Eurozone banks,
Sovereign debt
Editor
Elsevier
Publicado en
Finance Research Letters, December 2021
Departamento
Universidad Pública de Navarra/Nafarroako Unibertsitate Publikoa. Institute for Advanced Research in Business and Economics - INARBE /
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
We gratefully acknowledge financial support from grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033.