This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for...

We extend the literature on the sovereign-bank nexus by examining the composition effects of sovereign portfolios on banks´ risk profile, unlike previous studies which generally analyzed the determinants of banks’ sovereign portfolios or the size effects of these portfolios. We also differ...

This paper presents evidence on the likely composition effects of sovereign portfolios on two accounting based measures of banks' ex-post risk profile, using granular data by the European Banking Authority. Our study period covers from 2009 to 2018. We find that banks located in European...