Banks, government bonds, and default: what do the data say?

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• dc.contributor.author Gennaioli, Nicola
• dc.contributor.author Martin, Alberto, 1974-
• dc.contributor.author Rossi, Stefano
• dc.date.accessioned 2019-05-27T07:43:45Z
• dc.date.available 2019-05-27T07:43:45Z
• dc.date.issued 2018
• dc.description.abstract This paper analyzes sovereign bondholdings by 20,000 banks in 191 countries and 20 sovereign default episodes over 1998–2012, establishing two robust facts. First, banks hold many government bonds (on average 9% of assets) in normal times, particularly banks making fewer loans and operating in less financially-developed countries. Second, during default years, banks with the average exposure to government bonds exhibit a lower growth rate of loans than banks without bonds (7-percentage points lower). These results indicate that the “dangerous embrace” between banks and their government plays a key role during sovereign defaults and its strength depends on local conditions.
• dc.description.sponsorship Gennaioli thanks the European Research Council (grant ERC-GA 241114). Martin acknowledges support from the European Research Council (Consolidator Grant FP7-615651-MacroColl), the Spanish Ministry of Science and Innovation (grant Ramon y Cajal RYC-2009-04624), the Spanish Ministry of Economy and Competitivity (grant ECO2011-23192), the Generalitat de Catalunya-AGAUR (grant 2009SGR1157), the Ramón Areces Grant and the IMF Research Fellowship.
• dc.format.mimetype application/pdf
• dc.identifier.citation Gennaioli N, Martin A, Rossi S. Banks, government bonds, and default: what do the data say?. Journal of Monetary Economics. 2018 Oct;98:98-113. DOI: 10.1016/j.jmoneco.2018.04.011
• dc.identifier.doi http://dx.doi.org/10.1016/j.jmoneco.2018.04.011
• dc.identifier.issn 0304-3932
• dc.identifier.uri http://hdl.handle.net/10230/37296
• dc.language.iso eng
• dc.publisher Elsevier
• dc.relation.ispartof Journal of Monetary Economics. 2018 Oct;98:98-113
• dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/615651
• dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/241114
• dc.relation.projectID info:eu-repo/grantAgreement/ES/3PN/ECO2011-23192
• dc.relation.projectID info:eu-repo/grantAgreement/ES/3PN/RYC2009-04624
• dc.rights © 2018 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license.
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0/
• dc.subject.keyword Sovereign Risk
• dc.subject.keyword Sovereign Default
• dc.subject.keyword Government Bonds
• dc.title Banks, government bonds, and default: what do the data say?
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/publishedVersion