The greatest carry trade ever? Understanding eurozone bank risks

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Steffen, Sascha
• 署名单位: New York University; European School of Management & Technology
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.004
• 发表日期: 2015
• 页码: 215-236
• 关键词: Sovereign debt crisis; Banking crisis; Risk-shifting; Regulatory arbitrage; HOME BIAS; MORAL SUASION

摘要

We show that eurozone bank risks during 2007-2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond returns and negatively on German government bond returns, which generated carry until the deteriorating GIIPS bond returns adversely affected bank balance sheets. We find support for risk-shifting and regulatory arbitrage motives at banks in that carry trade behavior is stronger for large banks and banks with low capital ratios and high risk-weighted assets. We also find evidence for home bias and moral suasion in the subsample of GIIPS banks. (c) 2014 Elsevier B.V. All rights reserved.