European Parliament Library

Banks, Government Bonds, and Default :, What do the Data Say?, Nicola Gennaioli, Alberto Martin, Stefano Rossi

Abstract
We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus
Table Of Contents
Cover; Table of Contents; 1. Introduction; 2. Data; 2.1. Bondholdings and Returns Data1; 2.2. Summary Statistics of other Bank-Level Variables; 3. Determinants of Banks' Bondholdings; 3.1 Methodology; 3.2. Results; 4. Default, Bondholdings and Loans; 4.1 Methodology; 4.2. Results; 5. Interpretations and Implications of our Findings; References; Tables; Appendix
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (54 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498320894

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