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Banks' portfolio of government debt and sovereign risk

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the...

Persistent link: https://www.econbiz.de/10014383613

Bank regulation and sovereign risk : a paradox

Afonso, António; Teixeira, André - 2023

This paper investigates the impact of banking prudential regulation on sovereign risk. We show that prudential regulation reduces sovereign risk and induces governments to spend more. As a result, countries with tight prudential regulation have lower primary budget balances and accumulate more...

Persistent link: https://www.econbiz.de/10014281475

Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global...

Persistent link: https://www.econbiz.de/10014442414

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

Financial stability and the Fed : evidence from congressional hearings

Wischnewsky, Arina; Jansen, David-Jan; Neuenkirch, Matthias - 2019 - This version: May 2019

This paper retraces how financial stability considerations interacted with U.S. monetary policy before and during the Great Recession. Using text-mining techniques, we construct indicators for financial stability sentiment expressed during testimonies of four Federal Reserve Chairs at...

Persistent link: https://www.econbiz.de/10012024389

State-dependent transmission of monetary policy in the euro area

Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2018 - First Draft: December 21, 2016

transmission in the euro area over the period 1999-2015. MVARs allow us to differentiate between different states of the economy … multiple variables. We show that monetary policy transmission in the euro area can indeed be described as a mixture of two … the transmission mechanism is indeed different for the euro area during times of economic and financial distress. …

Persistent link: https://www.econbiz.de/10011859492

Shadow banks and the risk-taking channel of monetary policy transmission in the Euro Area

Wischnewsky, Arina; Neuenkirch, Matthias - 2018 - First Draft: June 11, 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that … stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro … expansion of assets. Country-specific estimations confirm these findings for most of the euro area countries, but also reveal …

Persistent link: https://www.econbiz.de/10011864635

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...

Persistent link: https://www.econbiz.de/10014388605