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Sovereign risk, bank funding and investors' pessimism

Faia, Ester - 2016 - This draft: September 2016

Data show that sovereign risk reduces liquidity, increases funding cost and risk of banks highly exposed to it. I build a model that rationalizes this fact. Banks act as delegated monitors and invest in risky projects and in risky sovereign bonds. As investors hear rumors of increased sovereign...

Persistent link: https://www.econbiz.de/10011541421

Sovereign risk, bank funding and investors' pessimism

Faia, Ester - 2016

Persistent link: https://www.econbiz.de/10011521692

Bank and sovereign debt risk connection

Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2013 - This draft: November 2013

Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden deposit withdrawals): banks invest in risky government bonds as a form of...

Persistent link: https://www.econbiz.de/10012060960

Bank and sovereign debt risk

Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2012 - This draft: December 2012

Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks' runs) which provides a link between...

Persistent link: https://www.econbiz.de/10010226188

Banks, sovereign risk and unconventional monetary policies

Auray, Stéphane; Eyquem, Aurélien; Ma, Xiaofei - In: European economic review : EER 108 (2018), pp. 153-171

Persistent link: https://www.econbiz.de/10012128467

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10003971081

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

Persistent link: https://www.econbiz.de/10003993995

Preferential treatment of government bonds in liquidity regulation : implications for bank behaviour and financial stability

Neyer, Ulrike; Sterzel, André - 2018

This paper analyses the impact of different treatments of government bonds in bank liquidity regulation on financial stability. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead to liquidity issues in the banking sector, implying the insolvency of a...

Persistent link: https://www.econbiz.de/10011901280

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis … increasingly drove a wedge between a seemingly resilient Euro-Zone core and its faltering periphery, its first collateral victims … were the private banks of the hardest-hit sovereigns. They were rapidly followed by the rest of the Euro-Zone's banks as a …

Persistent link: https://www.econbiz.de/10013063273

Real effects of sovereign bond market spillovers in the euro area

Gadatsch, Niklas A. - In: Macroeconomic effects of fiscal policy : a DSGE approach, (pp. 65-82). 2014

Persistent link: https://www.econbiz.de/10010510318

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