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Sovereign default risk and depositor behavior. The case of Greece

Author

Listed:
  • Picorelli, Julieta

    (Universidad de Buenos Aires
    Universidad de San Andrés)

Abstract

This paper studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It tests the main hypothesis during that period depositors react more to sovereign risk than to the idiosyncratic indicators of bank health. Using a quarterly panel dataset of Greek banks from June 2005 to September 2012, this paper finds that the withdrawal of deposits at the outbreak of the crisis can be mainly explained by the country risk variable, represented by sovereign spreads, controlling for bank-specific characteristics. Market discipline is also present, especially pre-crisis. Results are consistent with the existing literature and robust to different estimation methods.

Suggested Citation

  • Picorelli, Julieta, 2014. "Sovereign default risk and depositor behavior. The case of Greece," Revista de Economía Política de Buenos Aires, Universidad de Buenos Aires. Facultad de Ciencias Económicas., issue 13, pages 109-144, December.
    • Handle: RePEc:ake:repba1:y:2014:i:13:p:109-144
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    File URL: https://ojs.econ.uba.ar/index.php/REPBA/article/view/784/1430
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    Cited by:

    1. Leyla Mammadova & Aytan Mammadova & Fuad Mammadov & Leyla Yusifzada, 2016. "Determinants of Depositors’ Behaviour: Heterogeneous Panel Estimates," Working Papers 1603, Central Bank of Azerbaijan Republic.

    More about this item

    Keywords

    Sovereign default risk; depositor behavior; Greece;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G1 - Financial Economics - - General Financial Markets

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