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Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

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Authors and Corporations: Hristov, Nikolay (Author), Hülsewig, Oliver (Author), Scharler, Johann (Author)
Other Authors: Hülsewig, Oliver 1970- [Author] • Scharler, Johann 1971- [Author]
Type of Resource: E-Book
Language: English
Frankfurt am Main Deutsche Bundesbank [2020]
Series: Deutsche Bundesbank: Discussion paper ; no 2020, 19
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
ISBN: 9783957296979
Summary: We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e. the exposure of banks to the debt issued by the national government. Our results suggest that euro area crisis countries' banks enlarged their exposure to domestic sovereign debt after innovations related to unconventional monetary policy. Moreover, the restructuring of sovereign debt portfolios was characterized by a home bias.
Physical Description: 1 Online-Ressource (circa 42 Seiten); Illustrationen
ISBN: 9783957296979