relationship between bank solvency, on the one hand, and senior bond yields, term deposit rates and overnight deposit rates, on the …This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks … other. The analysis finds a significant negative relationship between bank solvency and the different types of funding costs …

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 - a period of exceptional increases in their domestic sovereign bond holdings. We …. As a result, domestic sovereign debt offers ex ante higher returns to bank shareholders than alternative ways to build up …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …

to increase their holdings of domestic sovereign bonds in months with relatively high domestic sovereign bond issuance … is not fueled by Central Bank liquidity provision. Our results point to a “moral suasion” mechanism, and cannot be …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

dataset of 23 bond restructurings with external creditors since 1994. We then study the determinants of holdouts and find that … the size of creditor losses (haircuts) is among the best predictors at the bond level. In a restructuring, bonds with … action clauses (CACs) are effective in reducing holdout risks. However, classic CACs, with bond-by-bond voting, are not …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …