Banks, government Bonds, and Default: What do the data Say?

• 成果类型: Article
• 署名作者: Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
• 署名单位: Bocconi University; Centre de Recerca en Economia Internacional (CREI)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.04.011
• 发表日期: 2018
• 页码: 98-113
• 关键词: Sovereign risk; sovereign default; Government Bonds

摘要

This paper analyzes sovereign bondholdings by 20,000 banks in 191 countries and 20 sovereign default episodes over 1998-2012, establishing two robust facts. First, banks hold many government bonds (on average 9% of assets) in normal times, particularly banks making fewer loans and operating in less financially-developed countries. Second, during default years, banks with the average exposure to government bonds exhibit a lower growth rate of loans than banks without bonds (7-percentage points lower). These results indicate that the dangerous embrace between banks and their government plays a key role during sovereign defaults and its strength depends on local conditions. (C) 2018 The Authors. Published by Elsevier B.V.