Further processing options
Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus
Saved in:
| Authors and Corporations: | , , |
|---|---|
| Other Authors: | Hülsewig, Oliver 1970- [Author] • Scharler, Johann 1971- [Author] |
| Type of Resource: | E-Book |
| Language: | English |
| published: |
Frankfurt am Main
Deutsche Bundesbank
[2020]
|
| Series: |
Deutsche Bundesbank: Discussion paper ; no 2020, 19
|
| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| ISBN: |
9783957296979
3957296978 |
| 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
3957296978 |