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Home bias in bank sovereign bond purchases and the bank-sovereign nexus

Author

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  • Andreeva, Desislava
  • Vlassopoulos, Thomas

Abstract

We study whether a pre-existing link between bank and sovereign credit risk biased euro area banks?' sovereign debt portfolio choices during 2011Q4 and 2012Q1 JEL Classification: G01, G11, G21, H6

Suggested Citation

  • Andreeva, Desislava & Vlassopoulos, Thomas, 2016. "Home bias in bank sovereign bond purchases and the bank-sovereign nexus," Working Paper Series 1977, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20161977
    Note: 628050
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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1977.en.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 88, pages 63-75.
    2. Affinito, Massimiliano & Albareto, Giorgio & Santioni, Raffaele, 2022. "Purchases of sovereign debt securities by banks during the crisis: The role of balance sheet conditions," Journal of Banking & Finance, Elsevier, vol. 138(C).
    3. Matías Lamas & Javier Mencía, 2018. "What drives sovereign debt portfolios of banks in a crisis context?," Working Papers 1843, Banco de España.
    4. Gibson, Heather D. & Hall, Stephen G. & Petroulas, Pavlos & Spiliotopoulos, Vassilis & Tavlas, George S., 2020. "The effect of emergency liquidity assistance (ELA) on bank lending during the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 108(C).
    5. Altavilla, Carlo & Andreeva, Desislava & Boucinha, Miguel & Holton, Sarah, 2019. "Monetary policy, credit institutions and the bank lending channel in the euro area," Occasional Paper Series 222, European Central Bank.

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    More about this item

    Keywords

    bank-sovereign nexus; sovereign default;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • H6 - Public Economics - - National Budget, Deficit, and Debt

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