Banks’ portfolio of government debt and sovereign risk

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2023
Outros Autores: Alves, José, Monteiro, Sofia
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/28891
Resumo: We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks’ portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks’ holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.
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spelling Banks’ portfolio of government debt and sovereign riskBankingSovereign DebtSovereign riskFinancial crisisRatingsWe analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks’ portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks’ holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioAlves, JoséMonteiro, Sofia2023-10-04T14:06:47Z2023-102023-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/28891engAfonso, António, José Alves e Sofia Monteiro (2023). "Banks’ portfolio of government debt and sovereign risk". REM Working paper series, nº 0289/20232184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-10-08T01:32:18Zoai:www.repository.utl.pt:10400.5/28891Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:33:56.685092Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Banks’ portfolio of government debt and sovereign risk
title Banks’ portfolio of government debt and sovereign risk
spellingShingle Banks’ portfolio of government debt and sovereign risk
Afonso, António
Banking
Sovereign Debt
Sovereign risk
Financial crisis
Ratings
title_short Banks’ portfolio of government debt and sovereign risk
title_full Banks’ portfolio of government debt and sovereign risk
title_fullStr Banks’ portfolio of government debt and sovereign risk
title_full_unstemmed Banks’ portfolio of government debt and sovereign risk
title_sort Banks’ portfolio of government debt and sovereign risk
author Afonso, António
author_facet Afonso, António
Alves, José
Monteiro, Sofia
author_role author
author2 Alves, José
Monteiro, Sofia
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Alves, José
Monteiro, Sofia
dc.subject.por.fl_str_mv Banking
Sovereign Debt
Sovereign risk
Financial crisis
Ratings
topic Banking
Sovereign Debt
Sovereign risk
Financial crisis
Ratings
description We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks’ portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks’ holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.
publishDate 2023
dc.date.none.fl_str_mv 2023-10-04T14:06:47Z
2023-10
2023-10-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/28891
url http://hdl.handle.net/10400.5/28891
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António, José Alves e Sofia Monteiro (2023). "Banks’ portfolio of government debt and sovereign risk". REM Working paper series, nº 0289/2023
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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