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Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013

In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...

Persistent link: https://www.econbiz.de/10009787584

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalın; Kaya, Orcun - 2013

sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk … ; eurozone economies ; FIGARCH ; dynamic conditional correlation …

Persistent link: https://www.econbiz.de/10009731982

Selective default expectations

Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

Persistent link: https://www.econbiz.de/10014495920

Sovereign risk and bank fragility

Anand, Kartik; Mankart, Jochen - 2020

We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its...

Persistent link: https://www.econbiz.de/10012301195

Risky sovereign bond holdings by commercial banks in the euro area : do safe assets availability and differences in bank funding costs play a role?

Jochem, Axel; Lecomte, Ernest - 2024

Commercial banks in some euro area member states hold large amounts of sovereign debt that offer a risk premium and hence higher yields than AAA-rated bonds issued by the most creditworthy countries. In particular, banks in vulnerable countries exhibit a bias towards domestically issued...

Persistent link: https://www.econbiz.de/10015052425

Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?

Frey, Rainer; Weth, Mark - 2010

For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of high-yielding periphery bonds in the period from Q1 2008 to Q2 2011. This investment strategy is pursued by banks not subject to a bailout, banks characterised by high...

Persistent link: https://www.econbiz.de/10012014102

Moral suasion in regional government bond markets

Ohls, Jana - 2017

In the context of the German regional government bond market, this paper studies the hypothesis that governments use moral suasion to persuade home government-owned banks to hold more home government debt. The empirical approach makes use of German banks' ownership structure, heterogeneity in...

Persistent link: https://www.econbiz.de/10011755947

Estimating the effects of the Eurosystem's asset purchase programme at the country level

Mandler, Martin; Scharnagl, Michael - 2020

We assess the macroeconomic effects of the Eurosystem's asset purchases on the four largest euro area economies using simulation exercises that combine unconventional monetary policy shocks with a fixed policy rate for the duration of the purchase programme. We identify unconventional monetary...

Persistent link: https://www.econbiz.de/10012222564

On the exposure of insurance companies to sovereign risk : portfolio investments and market forces

Düll, Robert; König, Felix; Ohls, Jana - 2015

A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability at risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional investors in the sovereign bond market. We use a firm...

Persistent link: https://www.econbiz.de/10011373080

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