Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
government bond returns, a position that generated "carry" until the deteriorating GIPSI bond returns inflicted losses on banks …. The positive GIPSI loadings correlate with banks' holdings of GIPSI bonds; and, the negative German loading with banks …' short-term debt exposures. Consistent with moral hazard in the form of risk-taking by large, under-capitalized banks to …