Battistini, Niccolò; Pagano, Marco; Simonelli, Saverio - Centro Studi di Economia e Finanza (CSEF) - 2013
time, banks’ sovereign debt portfolios featured an increasing home bias. We investigate the relationship between these two …-specific and a common risk component via a dynamic factor model. We then investigate how the home bias of banks’ sovereign … own sovereign’s risk. Finding (ii) indicates that, when systemic risk increases, all banks tend to increase the home bias …