Bank and sovereign debt risk connection
Author
Abstract
Suggested Citation
DOI: 10.2139/ssrn.2228494
Download full text from publisher
References listed on IDEAS
- Glenn D. Rudebusch & Eric T. Swanson, 2012.
"The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
- Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
- Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco.
- Rong Qian & Carmen M. Reinhart & Kenneth S. Rogoff, 2011.
"On Graduation from Default, Inflation and Banking Crises: Elusive or Illusion?,"
NBER Chapters, in: NBER Macroeconomics Annual 2010, volume 25, pages 1-36,
National Bureau of Economic Research, Inc.
- Rong Qian & Carmen M. Reinhart & Kenneth Rogoff, "undated". "On Graduation from Default, Inflation and Banking Crises: Elusive or Illusion?," Working Paper 14879, Harvard University OpenScholar.
- Rong Qian & Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "On Graduation from Default, Inflation and Banking Crisis: Elusive or Illusion?," NBER Working Papers 16168, National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Qian, Rong & Rogoff, Kenneth, 2010. "Do countries “graduate” from crises? Some historical perspective," MPRA Paper 24761, University Library of Munich, Germany.
- Bengt Holmstrom & Jean Tirole, 1997.
"Financial Intermediation, Loanable Funds, and The Real Sector,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(3), pages 663-691.
- Bengt Holmstrom & Jean Tirole, 1994. "Financial Intermediation, Loanable Funds and the Real Sector," Working papers 95-1, Massachusetts Institute of Technology (MIT), Department of Economics.
- Holmström, Bengt & Tirole, Jean, 1994. "Financial Intermediation, Loanable Funds and the Real Sector," IDEI Working Papers 40, Institut d'Économie Industrielle (IDEI), Toulouse.
- Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
- Juan J. Cruces & Christoph Trebesch, 2013.
"Sovereign Defaults: The Price of Haircuts,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 85-117, July.
- Juan J. Cruces & Christoph Trebesch, 2011. "Sovereign Defaults: The Price of Haircuts," CESifo Working Paper Series 3604, CESifo.
- Cruces, Juan J. & Trebesch, Christoph, 2013. "Sovereign defaults: The price of haircuts," Munich Reprints in Economics 20036, University of Munich, Department of Economics.
- Meh, Césaire A. & Moran, Kevin, 2010.
"The role of bank capital in the propagation of shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 555-576, March.
- Césaire Meh & Kevin Moran, 2008. "The Role of Bank Capital in the Propagation of Shocks," Staff Working Papers 08-36, Bank of Canada.
- Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk and Home Bias in the Euro Area," European Economy - Economic Papers 2008 - 2015 494, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Oleg Deev & Martin Hodula, 2016.
"Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia,"
Post-Communist Economies, Taylor & Francis Journals, vol. 28(2), pages 232-248, April.
- Deev, Oleg & Hodula, Martin, 2014. "Sovereign Default Risk and State-Owned Bank Fragility in Emerging Markets," MPRA Paper 62539, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Faia, Ester, 2017.
"Sovereign risk, bank funding and investors’ pessimism,"
Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 79-96.
- Faia, Ester, 2016. "Sovereign risk, bank funding and investors' pessimism," CFS Working Paper Series 542, Center for Financial Studies (CFS).
- Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
- Faia, Ester, 2016. "Sovereign Risk, Bank Funding and Investors’ Pessimism," CEPR Discussion Papers 11340, C.E.P.R. Discussion Papers.
- Andrea Ajello & Nina Boyarchenko & François Gourio & Andrea Tambalotti, 2022.
"Financial Stability Considerations for Monetary Policy: Theoretical Mechanisms,"
Staff Reports
1002, Federal Reserve Bank of New York.
- Andrea Ajello & Nina Boyarchenko & François Gourio & Andrea Tambalotti, 2022. "Financial Stability Considerations for Monetary Policy: Theoretical Mechanisms," Finance and Economics Discussion Series 2022-005, Board of Governors of the Federal Reserve System (U.S.).
- Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69, March.
- Cornand, Camille & Gandré, Pauline & Gimet, Céline, 2016.
"Increase in home bias in the Eurozone debt crisis: The role of domestic shocks,"
Economic Modelling, Elsevier, vol. 53(C), pages 445-469.
- Camille Cornand & Pauline Gandré & Céline Gimet, 2014. "Increase in home bias in the Eurozone debt crisis: the role of domestic shocks," Working Papers halshs-01015475, HAL.
- Camille Cornand & Pauline Gandré & Céline Gimet, 2016. "Increase in home bias in the Eurozone debt crisis: the role of domestic shocks," Post-Print halshs-01236055, HAL.
- Camille Cornand & Pauline Gandré & Céline Gimet, 2014. "Increase in home bias in the Eurozone debt crisis: the role of domestic shocks," Working Papers 1419, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Carlos A. Arango & Oscar M. Valencia, 2015.
"Macro-Prudential Policy under Moral Hazard and Financial Fragility,"
Borradores de Economia
878, Banco de la Republica de Colombia.
- Carlos A. Arango & Oscar M. Valencia, 2015. "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia 12695, Banco de la Republica.
- Fidrmuc, Jarko & Lind, Ronja, 2020.
"Macroeconomic impact of Basel III: Evidence from a meta-analysis,"
Journal of Banking & Finance, Elsevier, vol. 112(C).
- Jarko Fidrmuc & Ronja Lind, 2017. "Macroeconomic Impact of Basel III: Evidence from a Meta-Analysis," Working and Discussion Papers WP 5/2017, Research Department, National Bank of Slovakia.
- Fidrmuc, Jarko & Lind, Ronja, 2017. "Macroeconomic Impact of Basel III: Evidence from a Meta-Analysis," Beiträge zur Jahrestagung 2016 (Witten/Herdecke) 175189, Verein für Socialpolitik, Ausschuss für Wirtschaftssysteme und Institutionenökonomik.
- Lubello, Federico & Petrella, Ivan & Santoro, Emiliano, 2019.
"Bank assets, liquidity and credit cycles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 265-282.
- Petrella, Ivan & Lubello, Federico & Santoro, Emiliano, 2019. "Bank Assets, Liquidity and Credit Cycles," CEPR Discussion Papers 13831, C.E.P.R. Discussion Papers.
- Kühl, Michael, 2017.
"Bank capital, the state contingency of banks’ assets and its role for the transmission of shocks,"
Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 260-284.
- Kühl, Michael, 2014. "Bank capital, the state contingency of banks' assets and its role for the transmission of shocks," Discussion Papers 25/2014, Deutsche Bundesbank.
- Damiano Sandri & FabiÁn Valencia, 2013.
"Financial Crises and Recapitalizations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 59-86, December.
- Damiano Sandri & Fabián Valencia, 2013. "Financial Crises and Recapitalizations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 59-86, December.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2023.
"Financial Intermediation, Capital Accumulation, and Crisis Recovery,"
Review of Finance, European Finance Association, vol. 27(4), pages 1423-1469.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2017. "Financial Intermediation, Capital Accumulation and Crisis Recovery," Swiss Finance Institute Research Paper Series 17-38, Swiss Finance Institute.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2022. "Financial Intermediation, Capital Accumulation, and Crisis Recovery," Post-Print hal-04074448, HAL.
- Hans Gersbach & Jean-Charles Rochet & Martin Scheffel, 2019. "Financial Intermediation, Capital Accumulation and Crisis Recovery," Swiss Finance Institute Research Paper Series 19-62, Swiss Finance Institute.
- Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," TSE Working Papers 18-885, Toulouse School of Economics (TSE).
- Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," IDEI Working Papers 881, Institut d'Économie Industrielle (IDEI), Toulouse.
- Rhys Bidder & John Krainer & Adam Shapiro, 2021.
"De-leveraging or de-risking? How banks cope with loss,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 100-127, January.
- Rhys M. Bidder & John Krainer & Adam Hale Shapiro, 2019. "De-leveraging or De-risking? How Banks Cope with Loss," Working Paper Series 2017-3, Federal Reserve Bank of San Francisco.
- Konstantin Makrelov & Rob Davies & Laurence Harris, 2021.
"The impact of higher leverage ratios on the South African economy,"
Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 45(3), pages 184-207, July.
- Rob Davies & Laurence Harris & Konstantin Makrelov, 2019. "The impact of a higher leverage ratio on the South African economy," WIDER Working Paper Series wp-2019-35, World Institute for Development Economic Research (UNU-WIDER).
- Gersbach, Hans & Rochet, Jean-Charles, 2017.
"Capital regulation and credit fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 90(C), pages 113-124.
- Rochet, Jean Charles & Gersbach, Hans, 2012. "Capital Regulation and Credit Fluctuations," CEPR Discussion Papers 9077, C.E.P.R. Discussion Papers.
- Rafael Repullo & Javier Suarez, 2013.
"The Procyclical Effects of Bank Capital Regulation,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM 0b64ec97-95cc-45bf-b271-4, Tilburg University, School of Economics and Management.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM c763eb06-7096-4075-a652-2, Tilburg University, School of Economics and Management.
- Repullo, Rafael & Suarez, Javier, 2012. "The Procyclical Effects of Bank Capital Regulation," CEPR Discussion Papers 8897, C.E.P.R. Discussion Papers.
- Rafael Repullo & Javier Suarez, 2012. "The Procyclical Effects of Bank Capital Regulation," Working Papers wp2012_1202, CEMFI.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Discussion Paper 2010-29S, Tilburg University, Center for Economic Research.
- Mr. Damiano Sandri & Mr. Fabian Valencia, 2012. "Balance-Sheet Shocks and Recapitalizations," IMF Working Papers 2012/068, International Monetary Fund.
- Gebauer Stefan, 2021. "Welfare-Based Optimal Macroprudential Policy with Shadow Banks," Working papers 817, Banque de France.
- Kirschenmann, Karolin & Korte, Josef & Steffen, Sascha, 2017. "The zero risk fallacy? Banks' sovereign exposure and sovereign risk spillovers," ZEW Discussion Papers 17-069, ZEW - Leibniz Centre for European Economic Research.
- Carmen M. Reinhart & Franziska L. Ohnsorge & Kenneth S. Rogoff & M. Ayhan Kose, 2022.
"The Aftermath of Debt Surges,"
Annual Review of Economics, Annual Reviews, vol. 14(1), pages 637-663, August.
- M. Ayhan Kose & Franziska Ohnsorge & Carmen Reinhart & Kenneth Rogoff, 2021. "The aftermath of debt surges," CAMA Working Papers 2021-81, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- M. Ayhan Kose & Franziska Ohnsorge & Carmen Reinhart & Kenneth Rogoff, 2021. "The Aftermath of Debt Surges," Koç University-TUSIAD Economic Research Forum Working Papers 2119, Koc University-TUSIAD Economic Research Forum.
- Kose, M. Ayhan & Ohnsorge, Franziska & Reinhart, Carmen & Rogoff, Kenneth, 2021. "The Aftermath of Debt Surges," CEPR Discussion Papers 16537, C.E.P.R. Discussion Papers.
- Kose,Ayhan & Ohnsorge,Franziska Lieselotte & Reinhart,Carmen M. & Rogoff,Kenneth S., 2021. "The Aftermath of Debt Surges," Policy Research Working Paper Series 9771, The World Bank.
- M. Ayhan Kose & Franziska L. Ohnsorge & Carmen M. Reinhart & Kenneth S. Rogoff, 2021. "The Aftermath of Debt Surges," NBER Working Papers 29266, National Bureau of Economic Research, Inc.
More about this item
Keywords
liquidity risk; sovereign risk; capital regulations;All these keywords.
JEL classification:
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G3 - Financial Economics - - Corporate Finance and Governance
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-01-17 (Banking)
- NEP-CBA-2014-01-17 (Central Banking)
- NEP-DGE-2014-01-17 (Dynamic General Equilibrium)
- NEP-EEC-2014-01-17 (European Economics)
- NEP-MAC-2014-01-17 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:safewp:7. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/csafede.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.