Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns … load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German … government bond returns, a position that generated "carry" until the deteriorating GIPSI bond returns inflicted losses on banks …