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The impact of sovereign credit risk on bank funding conditions

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  1. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016. "How the euro-area sovereign-debt crisis led to a collapse in bank equity prices," Journal of Financial Stability, Elsevier, vol. 26(C), pages 266-275.
  2. Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
  3. Noel, Dorian M. & Bangwayo-Skeete, Prosper F. & Brei, Michael & Robinson, Justin, 2021. "Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  4. Luque, Jaime, 2022. "The repo channel of cross-border lending in the European sovereign debt crisis," Journal of Financial Markets, Elsevier, vol. 59(PA).
  5. Milutin Ješić, 2013. "Implications of Fiscal Irresponsibility on Financial Stability," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 2(3), pages 111-138.
  6. Jack Bekooij & Jon Frost & Remco van der Molen & Krzysztof Muzalewski, 2016. "Hazardous tango: Sovereign-bank interdependencies across countries and time," DNB Working Papers 541, Netherlands Central Bank, Research Department.
  7. Elena Deryugina & Olga Kovalenko & Irina Pantina & Alexey Ponomarenko, 2015. "Disentangling loan demand and supply shocks in Russia," Bank of Russia Working Paper Series wps3, Bank of Russia.
  8. Dennis Bonam & Bart Hobijn, 2021. "Generalized Stability of Monetary Unions Under Regime Switching in Monetary and Fiscal Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 73-94, February.
  9. Andries, Natalia & Billon, Steve, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Economic Systems, Elsevier, vol. 40(1), pages 170-194.
  10. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017. "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, vol. 49(2), pages 194-210.
  11. Fulli-Lemaire, Nicolas, 2013. "A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies," MPRA Paper 49072, University Library of Munich, Germany.
  12. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
  13. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016. "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 197-213, February.
  14. A. Pinna, 2014. "Shall We Keep Early Diers Alive?," Working Paper CRENoS 201411, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  15. Beniamino Moro, 2013. "The Run On Repo and the Liquidity Shortage Problems of the Current Global Financial Crisis: Europe vs. The US," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 2(1), pages 41-77, January.
  16. Fiordelisi, Franco & Girardone, Claudia & Minnucci, Federica & Ricci, Ornella, 2020. "On the nexus between sovereign risk and banking crises," Journal of Corporate Finance, Elsevier, vol. 65(C).
  17. André Diniz & Bernardo Guimaraes, 2017. "How diabolic is the sovereign-bank loop? The effects of post-default fiscal policies," Discussion Papers 1705, Centre for Macroeconomics (CFM).
  18. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.
  19. Bank for International Settlements, 2011. "The impact of sovereign credit risk on bank funding conditions," CGFS Papers, Bank for International Settlements, number 43, december.
  20. Annika Westphal, 2015. "Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures," IJFS, MDPI, vol. 3(3), pages 1-36, July.
  21. Iftekhar Hasan & Suk-Joong Kim & Eliza Wu, 2018. "The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 16, pages 547-603, World Scientific Publishing Co. Pte. Ltd..
  22. Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Leibniz Institute for Financial Research SAFE.
  23. Albertazzi, Ugo & Ropele, Tiziano & Sene, Gabriele & Signoretti, Federico Maria, 2014. "The impact of the sovereign debt crisis on the activity of Italian banks," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 387-402.
  24. Andrea Beltratti & René M. Stulz, 2015. "Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis," NBER Working Papers 21150, National Bureau of Economic Research, Inc.
  25. Agoraki, Maria-Eleni & Gounopoulos, Dimitrios & Kouretas, Georgios P., 2021. "Market expectations and the impact of credit rating on the IPOs of U.S. banks," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 587-610.
  26. Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
  27. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
  28. Daniela Gabor & Cornel Ban, 2016. "Banking on Bonds: The New Links Between States and Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 617-635, May.
  29. Jorg Bibow, 2015. "The Euro's Savior? Assessing the ECB's Crisis Management Performance and Potential for Crisis Resolution," Economics Working Paper Archive wp_845, Levy Economics Institute.
  30. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  31. Ricardo Correa & Kuan‐Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2014. "Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 93-121, February.
  32. Thordur Jonasson & Mr. Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 2018/074, International Monetary Fund.
  33. Ugo Albertazzi & Alessandro Notarpietro & Stefano Siviero, 2016. "An inquiry into the determinants of the profitability of Italian banks," Questioni di Economia e Finanza (Occasional Papers) 364, Bank of Italy, Economic Research and International Relations Area.
  34. María Cantero‐Saiz & Sergio Sanfilippo‐Azofra & Begoña Torre‐Olmo, 2022. "Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 285-312, February.
  35. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
  36. repec:mth:ijafr8:v:8:y:2018:i:4:p:115-138 is not listed on IDEAS
  37. repec:cbk:journl:v:2:y:2013:i:2:p:111-138 is not listed on IDEAS
  38. Neyer, Ulrike & Sterzel, André, 2018. "Preferential treatment of government bonds in liquidity regulation: Implications for bank behaviour and financial stability," DICE Discussion Papers 301, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
  39. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  40. David Howarth & Lucia Quaglia, 2013. "Banking Union as Holy Grail: Rebuilding the Single Market in Financial Services, Stabilizing Europe's Banks and ‘Completing’ Economic and Monetary Union," Journal of Common Market Studies, Wiley Blackwell, vol. 51, pages 103-123, September.
  41. Stângă, Irina M., 2014. "Bank bailouts and bank-sovereign risk contagion channels," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 17-40.
  42. Broto, Carmen & Molina, Luis, 2016. "Sovereign ratings and their asymmetric response to fundamentals," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
  43. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
  44. Wang, Zhanhao & Zhao, Hong & Li, Lingxiang, 2022. "The positive side of bank wealth management products: Evidence from bank lending rate," Journal of Financial Stability, Elsevier, vol. 58(C).
  45. Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
  46. Benjamin Käfer & Jochen Michaelis, 2012. "Länderrisiko: Die ökonomischen Konsequenzen einer Herabstufung durch die Ratingagenturen," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 92(2), pages 95-100, February.
  47. Marcin Borsuk & Błażej Lepczyński, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
  48. Kosmidou, Kyriaki V. & Kousenidis, Dimitrios V. & Negakis, Christos I., 2015. "The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 440-454.
  49. Borsuk, Marcin & Lepczyński, Błażej, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(1), March.
  50. Carlos Alberto Piscarreta Pinto Ferreira, 2023. "Drivers of Sovereign Bond Demand – The Case of Japans," Working Papers REM 2023/0264, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  51. Robert Brooks & Robert Faff & Sirimon Treepongkaruna & Eliza Wu, 2015. "Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 777-799, June.
  52. Luigi Bocola, 2016. "The Pass-Through of Sovereign Risk," Journal of Political Economy, University of Chicago Press, vol. 124(4), pages 879-926.
  53. Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
  54. Andre Diniz & Bernardo Guimaraes, 2014. "Financial Disruption as a Cost of Sovereign Default: a quantative assessment," Discussion Papers 1427, Centre for Macroeconomics (CFM).
  55. Michael Demoussis & Konstantinos Drakos & Nicholas Giannakopoulos, 2017. "The impact of sovereign ratings on euro zone SMEs’ credit rationing," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(5), pages 745-764, October.
  56. Holtemöller, Oliver & Scherer, Jan-Christopher, 2018. "Sovereign Stress, Banking Stress, and the Monetary Transmission Mechanism in the Euro Area," ADBI Working Papers 811, Asian Development Bank Institute.
  57. Bottero, Margherita & Lenzu, Simone & Mezzanotti, Filippo, 2020. "Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy," Journal of International Economics, Elsevier, vol. 126(C).
  58. Philip Turner, 2011. "Is the long-term interest rate a policy victim, a policy variable or a policy lodestar?," BIS Working Papers 367, Bank for International Settlements.
  59. Xiaoqing Maggie Fu & Yongjia Rebecca Lin & Philip Molyneux, 2015. "Bank Efficiency and Shareholder Value in Asia Pacific," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Bank Competition, Efficiency and Liquidity Creation in Asia Pacific, chapter 4, pages 72-95, Palgrave Macmillan.
  60. Affinito, Massimiliano & Albareto, Giorgio & Santioni, Raffaele, 2022. "Purchases of sovereign debt securities by banks during the crisis: The role of balance sheet conditions," Journal of Banking & Finance, Elsevier, vol. 138(C).
  61. Sahibzada, Irfan Ullah & Rizwan, Muhammad Suhail & Qureshi, Anum, 2022. "Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigation," Journal of Banking & Finance, Elsevier, vol. 145(C).
  62. repec:cii:cepiei:2015-q1-141-4 is not listed on IDEAS
  63. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
  64. Cycon, Lisa & Koetter, Michael, 2015. "Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112831, Verein für Socialpolitik / German Economic Association.
  65. CRISTE Adina & LUPU Iulia, 2013. "The Conflict Relation Between the Sovereign Debt of the Euro Area Countries and the Common Monetary Policy As a Potential Source For Geopolitical Changes," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 167-173, May.
  66. Opoku Mensah, Mary & Agbloyor, Elikplimi Komla & Harvey, Simon Kwadzogah & Fiador, Vera Ogeh, 2017. "Sovereign credit ratings and bank funding cost: Evidence from Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 887-899.
  67. Li Lian Ong & Ceyla Pazarbasioglu, 2014. "Credibility and Crisis Stress Testing," IJFS, MDPI, vol. 2(1), pages 1-67, February.
  68. Tholl, Johannes & Schwarzbach, Christoph & Pittalis, Sandro & von Mettenheim, Hans-Jörg, 2020. "Bank funding and the recent political development in Italy: What about redenomination risk?," International Review of Law and Economics, Elsevier, vol. 64(C).
  69. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2017. "Sovereign stress and SMEs’ access to finance: Evidence from the ECB's SAFE survey," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 65-80.
  70. Martina Cecioni & Giuseppe Ferrero, 2012. "Determinants of TARGET2 imbalances," Questioni di Economia e Finanza (Occasional Papers) 136, Bank of Italy, Economic Research and International Relations Area.
  71. Viral V Acharya & Tim Eisert & Christian Eufinger & Christian Hirsch, 2018. "Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2855-2896.
  72. Gajewski, Krzysztof & Olszewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech & Tchorek, Grzegorz & Zięba, Jolanta, 2012. "Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury [Financial integration in Europe after the introduction of the euro. A literature overview]," MPRA Paper 42482, University Library of Munich, Germany.
  73. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
  74. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.
  75. Guilherme Bandeira, 2018. "Fiscal transfers in a monetary union with sovereign risk," Working Papers 1807, Banco de España.
  76. Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
  77. Swamy, Vighneswara, 2013. "Euro Zone Debt Crisis: Implications for Indian Banking Sector," MPRA Paper 47658, University Library of Munich, Germany.
  78. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
  79. Schertler, Andrea & Moch, Nils, 2021. "Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices," Journal of Banking & Finance, Elsevier, vol. 130(C).
  80. Alfred Guender & Bernard Tolan, 2017. "The predictive ability of a risk-adjusted yield spread for economic activity in Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 1-27, February.
  81. Markus Eller & Thomas Reininger, 2016. "The influence of sovereign bond yields on bank lending rates: the pass-through in Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 54-78.
  82. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
  83. Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.
  84. Oliver Picek, 2015. "A national public bank to finance a euro zone government: Getting the funds for investment and recovery packages," Working Papers 1512, New School for Social Research, Department of Economics.
  85. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
  86. Masciantonio, Sergio & Tiseno, Andrea, 2012. "The rise and fall of universal banking: ups and downs of a sample of large and complex financial institutions since the late ‘90s," MPRA Paper 42494, University Library of Munich, Germany.
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