Banks, government bonds, and default: what do the data say?
This paper analyzes sovereign bondholdings by 20,000 banks in 191 countries and 20 sovereign default episodes over 1998–2012, establishing two robust facts. First, banks hold many government bonds (on average 9% of assets) in normal times, particularly banks making fewer loans and operating in less...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2018 |
| País: | España |
| Recursos: | Universitat Pompeu Fabra |
| Repositório: | Repositorio Digital de la UPF |
| OAI Identifier: | oai:repositori.upf.edu:10230/37296 |
| Acesso em linha: | http://hdl.handle.net/10230/37296 http://dx.doi.org/10.1016/j.jmoneco.2018.04.011 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Sovereign Risk Sovereign Default Government Bonds |
| Resumo: | This paper analyzes sovereign bondholdings by 20,000 banks in 191 countries and 20 sovereign default episodes over 1998–2012, establishing two robust facts. First, banks hold many government bonds (on average 9% of assets) in normal times, particularly banks making fewer loans and operating in less financially-developed countries. Second, during default years, banks with the average exposure to government bonds exhibit a lower growth rate of loans than banks without bonds (7-percentage points lower). These results indicate that the “dangerous embrace” between banks and their government plays a key role during sovereign defaults and its strength depends on local conditions. |
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