Banks’ portfolio of government debt and sovereign risk

Afonso, António; Alves, José; Monteiro, Sofia

http://hdl.handle.net/10400.5/28891

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Autores

Afonso, António

Alves, José

Monteiro, Sofia

Resumo(s)

We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks’ portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks’ holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.

Palavras-chave

Banking Sovereign Debt Sovereign risk Financial crisis Ratings

URI

http://hdl.handle.net/10400.5/28891

Citação

Afonso, António, José Alves e Sofia Monteiro (2023). "Banks’ portfolio of government debt and sovereign risk". REM Working paper series, nº 0289/2023

Editora

ISEG - REM - Research in Economics and Mathematics

Coleções

REM - REM Working Papers Series

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