Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In … holdings in response to non-standard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e. the … enlarged their exposure to domestic sovereign debt after innovations related to unconventional monetary policy. Moreover, the …