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The sovereign-bank diabolic loop and esbies

Brunnermeier, Markus Konrad; Garicano, Luis; Lane, Philip R. - 2016

We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can be avoided by restricting banks' domestic sovereign exposures relative to their equity. Second, equity requirements can be lowered if banks only hold senior domestic sovereign...

Persistent link: https://www.econbiz.de/10011560340

The "greatest" carry trade ever? : understanding eurozone bank risks

Acharya, Viral V.; Steffen, Sascha - In: Journal of financial economics 115 (2015) 2, pp. 215-236

Persistent link: https://www.econbiz.de/10011347532

Banking and Sovereign Risk in the Euro Area

Gerlach, Stefan - 2016

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10012991092

The Eurozone Financial Crisis : Role of Interdependencies between Bank and Sovereign Risk

Barth, James R. - 2011

before, during and after the financial crisis. Design/methodology/approach: Our approach is based upon an examination of 44 … eurozone, and the remaining five belong to neither group. This provides a good comparison group of countries. Findings: We find … countries in which they are headquartered, with special emphasis on the recent global financial and eurozone crises …

Persistent link: https://www.econbiz.de/10013117948

The Sovereign-Bank Diabolic Loop and ESBies

Brunnermeier, Markus K. - 2016

We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can be avoided by restricting banks domestic sovereign exposures relative to their equity. Second, equity requirements can be lowered if banks only hold senior domestic sovereign...

Persistent link: https://www.econbiz.de/10012456680