Home Bias in Bank Sovereign Bond Purchases and the Bank-Sovereign Nexus

Vlassopoulos, Thomas; Andreeva, Desislava

doi:10.2139/ssrn.2910883

Cited by 7 publications

(3 citation statements)

References 26 publications

(59 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Such strategies contribute to an increased home bias of bank exposures and so increase the concentration in banks' asset portfolios (Reichlin 2014). Home bias in sovereign bond holdings may result from these carry trades of banks for several reasons, such as moral suasion or financial repression by governments, or the informational advantage of domestic banks with regard to their sovereign (Andreeva and Vlassopoulos 2019;Saka 2020).…”

Section: Literaturementioning

confidence: 99%

See 1 more Smart Citation

The impact of central bank liquidity support on banks’ sovereign exposures

2021

View full text Add to dashboard Cite

We empirically analyse the relationship between longer term central bank liquidity support and banks' exposures to governments, using difference-in-differences panel regressions and propensity score matching on a large sample of banks in the euro area. The research question is whether the liquidity operations, which were introduced to prevent disorderly deleveraging, can also be linked to unintended changes in banks' asset allocations, in particular to carry trades in government bonds. The results show that unconditional and conditional refinancing operations have a different effect on banks' government exposures. Unconditional longer-term refinancing operations went together with more carry trades in stressed countries, i.e. banks borrowing more while increasing their holdings of government bonds. In contrast, refinancing operations that were conditional on banks' lending were not associated with such carry trades, highlighting the benefits of conditionality attached to long-term refinancing operations.

show abstract

Section: Literaturementioning

confidence: 99%

“…H3: Changes in sovereign bond holdings associated with high central bank borrowing differ between domestic and foreign government bonds (Andreeva and Vlassopoulos 2019).…”

Section: Hypothesesmentioning

confidence: 99%

The impact of central bank liquidity support on banks’ sovereign exposures

2021

View full text Add to dashboard Cite

show abstract

“…23 20 See e.g. Lewis(1999), Obstfeld and Rogoff (2000), Portes andRey (2005), Sørensen, et al (2007), and Andreeva and Vlassopoulos (2016). 21 Cyprus drops out because of the lack of a balanced data set.…”

mentioning

confidence: 99%