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Banks’ portfolio of government debt and sovereign risk

2023-10Working paper Open access
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dc.contributor.authorAfonso, António
dc.contributor.authorAlves, José
dc.contributor.authorMonteiro, Sofia
dc.date.accessioned2023-10-04T14:06:47Z
dc.date.available2023-10-04T14:06:47Z
dc.date.issued2023-10
dc.description.abstractWe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationAfonso, António, José Alves e Sofia Monteiro (2023). "Banks’ portfolio of government debt and sovereign risk". REM Working paper series, nº 0289/2023pt_PT
dc.identifier.issn2184-108X
dc.identifier.urihttp://hdl.handle.net/10400.5/28891
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherISEG - REM - Research in Economics and Mathematicspt_PT
dc.relationUIDB/05069/2020pt_PT
dc.relation.ispartofseriesREM Working paper series;nº 0289/2023
dc.relation.publisherversionhttps://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0289_2023.pdfpt_PT
dc.subjectBankingpt_PT
dc.subjectSovereign Debtpt_PT
dc.subjectSovereign riskpt_PT
dc.subjectFinancial crisispt_PT
dc.subjectRatingspt_PT
dc.titleBanks’ portfolio of government debt and sovereign riskpt_PT
dc.typeworking paper
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typeworkingPaperpt_PT

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