Sovereign-bank nexus: risk transfers and causality

Detalhes bibliográficos
Autor(a) principal: Monteiro, Sara Patrícia Teixeira
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/122680
Resumo: Whilst banks are exposed to sovereign risk, sovereigns are exposed to bank risk. This Work Project investigates the linkage between both, i.e., the sovereign-bank nexus. Focusing on a sample of 11 European countries during 2014-2020, evidence supporting a positive response of banks’ home country sovereign debt holdings to increases in sovereign bond spreads and decreases in profitabilityis presented. It is also shown that banks’ solvency over this period was connected to their home country sovereign bond spreads. Lastly, adding a sample of 40 banks, it is confirmed that the sovereign-bank link age was still in place during the 2017-2020period.
id RCAP_bbcdbb1b0837278c11c84b3dfd926893
oai_identifier_str oai:run.unl.pt:10362/122680
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Sovereign-bank nexus: risk transfers and causalitySovereign-bank nexusBanking unionGiipsHome biasDomínio/Área Científica::Ciências Sociais::Economia e GestãoWhilst banks are exposed to sovereign risk, sovereigns are exposed to bank risk. This Work Project investigates the linkage between both, i.e., the sovereign-bank nexus. Focusing on a sample of 11 European countries during 2014-2020, evidence supporting a positive response of banks’ home country sovereign debt holdings to increases in sovereign bond spreads and decreases in profitabilityis presented. It is also shown that banks’ solvency over this period was connected to their home country sovereign bond spreads. Lastly, adding a sample of 40 banks, it is confirmed that the sovereign-bank link age was still in place during the 2017-2020period.Rodrigues, Paulo Manuel MarquesRUNMonteiro, Sara Patrícia Teixeira2021-08-18T13:03:14Z2021-01-132021-01-132021-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122680TID:202741605enginfo: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:RCAAP2024-03-11T05:04:14Zoai:run.unl.pt:10362/122680Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:49.742873Repositório 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 Sovereign-bank nexus: risk transfers and causality
title Sovereign-bank nexus: risk transfers and causality
spellingShingle Sovereign-bank nexus: risk transfers and causality
Monteiro, Sara Patrícia Teixeira
Sovereign-bank nexus
Banking union
Giips
Home bias
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Sovereign-bank nexus: risk transfers and causality
title_full Sovereign-bank nexus: risk transfers and causality
title_fullStr Sovereign-bank nexus: risk transfers and causality
title_full_unstemmed Sovereign-bank nexus: risk transfers and causality
title_sort Sovereign-bank nexus: risk transfers and causality
author Monteiro, Sara Patrícia Teixeira
author_facet Monteiro, Sara Patrícia Teixeira
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Monteiro, Sara Patrícia Teixeira
dc.subject.por.fl_str_mv Sovereign-bank nexus
Banking union
Giips
Home bias
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Sovereign-bank nexus
Banking union
Giips
Home bias
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Whilst banks are exposed to sovereign risk, sovereigns are exposed to bank risk. This Work Project investigates the linkage between both, i.e., the sovereign-bank nexus. Focusing on a sample of 11 European countries during 2014-2020, evidence supporting a positive response of banks’ home country sovereign debt holdings to increases in sovereign bond spreads and decreases in profitabilityis presented. It is also shown that banks’ solvency over this period was connected to their home country sovereign bond spreads. Lastly, adding a sample of 40 banks, it is confirmed that the sovereign-bank link age was still in place during the 2017-2020period.
publishDate 2021
dc.date.none.fl_str_mv 2021-08-18T13:03:14Z
2021-01-13
2021-01-13
2021-01-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/122680
TID:202741605
url http://hdl.handle.net/10362/122680
identifier_str_mv TID:202741605
dc.language.iso.fl_str_mv eng
language eng
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.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
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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
repository.mail.fl_str_mv
_version_ 1799138055081164800

Registros relacionados