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dc.creatorAbinzano Guillén, María Isabeles_ES
dc.creatorCorredor Casado, María Pilares_ES
dc.creatorMansilla Fernández, José Manueles_ES
dc.date.accessioned2022-04-12T10:44:03Z
dc.date.available2022-04-12T10:44:03Z
dc.date.issued2021
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/2454/42760
dc.description.abstractThis 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.sponsorshipWe gratefully acknowledge financial support from grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033.en
dc.format.extent7 p.
dc.format.mimetypeapplication/pdfen
dc.language.isoengen
dc.publisherElsevieren
dc.relation.ispartofFinance Research Letters, December 2021en
dc.rights© 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 Internationalen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectBank credit-risken
dc.subjectDynamic panel dataen
dc.subjectEurozone banksen
dc.subjectSovereign debten
dc.titleSovereign debt holdings and banks’ credit risk: evidence from the Eurozoneen
dc.typeinfo:eu-repo/semantics/articleen
dc.typeArtículo / Artikuluaes
dc.contributor.departmentEnpresen Kudeaketaeu
dc.contributor.departmentInstitute for Advanced Research in Business and Economics - INARBEen
dc.contributor.departmentGestión de Empresases_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.identifier.doi10.1016/j.frl.2021.102600
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/en
dc.relation.publisherversionhttps://doi.org/10.1016/j.frl.2021.102600
dc.type.versioninfo:eu-repo/semantics/publishedVersionen
dc.type.versionVersión publicada / Argitaratu den bertsioaes


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© 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's license is described as © 2021 The Author(s). Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

El Repositorio ha recibido la ayuda de la Fundación Española para la Ciencia y la Tecnología para la realización de actividades en el ámbito del fomento de la investigación científica de excelencia, en la Línea 2. Repositorios institucionales (convocatoria 2020-2021).
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