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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

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

Does sovereign risk impact banking risk in the Eurozone? : evidence from the COVID-19 pandemic

González-Velasco, Carmen; García-López, Marcos; … - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013459838

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

Real effects of sovereign bond market spillovers in the euro area

Gadatsch, Niklas - 2015

This paper develops a small open economy model to investigate the impact of rising sovereign bond market spreads on the real economy. One key element of the model is a "sovereign risk channel" through which tensions in the sovereign bond market tend to spill over into private credit markets. The...

Persistent link: https://www.econbiz.de/10010512139

Real Effects of Sovereign Bond Market Spillovers in the Euro Area

Gadatsch, Niklas - 2016

This paper develops a small open economy model to investigate the impact of rising sovereign bond market spreads on the real economy. One key element of the model is a “sovereign risk channel” through which tensions in the sovereign bond market tend to spill over into private credit markets....

Persistent link: https://www.econbiz.de/10012985874

Sovereign risk, public debt, dollarization, and the output effects of fiscal austerity

Çufadar, Ali; Özatay, Fatih - In: Journal of international money and finance 72 (2017), pp. 75-92

Persistent link: https://www.econbiz.de/10011787682

Macroprudential stress test of the euro area banking system

Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019

This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...

Persistent link: https://www.econbiz.de/10012033284

Impact of higher capital buffers on banks’ lending and risk-taking in the short- and medium-term : evidence from the euro area experiments

Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - In: Journal of financial stability 72 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014565245

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