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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 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

Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2015

holdings by banks to eurozone membership and inflation increased significantly since the collapse of Lehman Brothers. Since the …

Persistent link: https://www.econbiz.de/10011334569

The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017

European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10011764975

The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers

Kirschenmann, Karolin - 2018

European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10012931492

The search for a euro area safe asset

Leandro, Alvaro; Zettelmeyer, Jeromin - 2018

Persistent link: https://www.econbiz.de/10011889772

The search for a euro area safe asset

Leandro, Alvaro; Zettelmeyer, Jeromin - 2018

Persistent link: https://www.econbiz.de/10011803725

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

The Road Towards the Establishment of the European Banking Union

Papanikolaou, Nikolaos I. - 2016

The rising delinquencies in the U.S. subprime mortgage market in 2006 and the succeeding collapse in housing prices had a considerably negative impact on the functioning of the European financial systems and the smooth operation of European economies. Indeed, in the Euro-area, what started as a...

Persistent link: https://www.econbiz.de/10013005158

Debt levels, debt composition, and sovereign spreads in emerging and advanced economies

Dell’Erba, Salvatore; Hausmann, Ricardo; Panizza, Ugo - 2013

spreads is about one fifth of the corresponding correlation for emerging market economies. In Eurozone countries, however, the … financial crisis amplified the relationship between spreads and debt levels within the Eurozone but had no effect on the … liabilities is larger in the Eurozone than in standalone advanced economies. The paper concludes that debt composition matters and …

Persistent link: https://www.econbiz.de/10010189310