REPATRIATION OF DEBT IN THE EURO CRISIS

• 成果类型: Article
• 署名作者: Brutti, Filippo; Saure, Philip
• 署名单位: Swiss National Bank (SNB)
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12169
• 发表日期: 2016
• 页码: 145-174
• 关键词: sovereign debt; interest-rates; default; RISK; MARKET; determinants; repudiation; INFORMATION; INVESTMENT; ECONOMY

摘要

With the beginning of the Euro Crisis, the long-standing trend of European financial integration reversed. Investors unwound cross-border positions of debt obligations and increased holdings of locally issued debt. In other words, debt obligations were repatriated. We use data on bank portfolios to document three new empirical regularities of the financial disintegration: (i) repatriation affected mainly debt of crisis countries; (ii) repatriation affected mainly public debt; (iii) the public debt of crisis countries that was not repatriated was reallocated to large and politically influential countries within the Euro area. We read these results in light of standard theories of cross-border portfolio allocation and argue that the sum of these patterns constitutes evidence for the secondary market theory of public debt.