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Government guarantees and the two-way feedback between banking and sovereign debt crises. (2017). leonello, agnese.
In: Working Paper Series.
RePEc:ecb:ecbwps:20172067.

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  1. “Increasing contingent guarantees: The asymmetrical effect on sovereign risk of different government interventions. (2019). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201914.

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  2. Bail-in vs. Bailout: a False Dilemma?. (2018). Pandolfi, Lorenzo.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:499.

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  3. Diversification and Systemic Bank Runs. (2018). Liu, Xue Wen.
    In: 2018 Meeting Papers.
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  4. Dissecting the ‘doom loop’: the bank-sovereign credit risk nexus during the US debt ceiling crisis. (2018). Gori, Filippo.
    In: MPRA Paper.
    RePEc:pra:mprapa:87994.

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  5. Government guarantees and financial stability. (2018). leonello, agnese ; Goldstein, Itay ; Carletti, Elena ; Allen, Franklin.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:177:y:2018:i:c:p:518-557.

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  6. Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:49:y:2018:i:c:p:247-262.

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  7. Government debt and banking fragility: the spreading of strategic uncertainty. (2018). Nikolov, Kalin ; Cooper, Russell.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20182195.

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  8. Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20182193.

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  9. Why are banks not recapitalized during crises?. (2017). Crosignani, Matteo.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201757.

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  10. Short-Selling Bans and Bank Stability. (2017). Simonelli, Saverio ; Pagano, Marco ; Fabbri, Daniela ; Beber, Alessandro .
    In: CSEF Working Papers.
    RePEc:sef:csefwp:423.

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  11. Bank Exposures and Sovereign Stress Transmission. (2017). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo ; Carlo Altavilla , .
    In: CSEF Working Papers.
    RePEc:sef:csefwp:410.

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  12. Why Are Banks Not Recapitalized During Crises?. (2017). Crosignani, Matteo.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-84.

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  13. Short-Selling Bans and Bank Stability. (2017). Simonelli, Saverio ; Pagano, Marco ; Beber, Alessandro ; Fabbri, Daniela .
    In: EIEF Working Papers Series.
    RePEc:eie:wpaper:1604.

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  14. The 2012 eurozone crisis and the ECB’s OMT program: A debt-overhang banking and sovereign crisis interpretation. (2017). Occhino, Filippo.
    In: European Economic Review.
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  15. Government guarantees and the bank-sovereign nexus. (2017). leonello, agnese.
    In: Research Bulletin.
    RePEc:ecb:ecbrbu:2017:0035:.

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  16. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode. (2017). Santucci de Magistris, Paolo ; Ravazzolo, Francesco ; Natvik, Gisle ; Caporin, Massimiliano.
    In: CREATES Research Papers.
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  17. Bank exposures and sovereign stress transmission. (2016). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo ; Carlo Altavilla , .
    In: CFS Working Paper Series.
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  18. Asset encumbrance, bank funding and financial fragility. (2016). Chapman, James ; Anand, Kartik ; Ahnert, Toni ; Gai, Prasanna.
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  19. Banks and Sovereigns: A Model of Mutual Contagion. (2016). Kogler, Michael ; Gruber, Alexander .
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  20. Bank exposures and sovereign stress transmission. (2016). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo ; Carlo Altavilla , .
    In: ESRB Working Paper Series.
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  21. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano ; Lane, Philip R.
    In: CSEF Working Papers.
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  22. Sovereign Risk and Bank Risk-Taking. (2016). Ari, Anil.
    In: 2016 Meeting Papers.
    RePEc:red:sed016:676.

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  23. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Lane, Philip ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano.
    In: NBER Working Papers.
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  24. Sovereign Risk and Bank Risk-Taking. (2016). Ari, Anil.
    In: 2016 Papers.
    RePEc:jmp:jm2016:par455.

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  25. Bank Exposures and Sovereign Stress Transmission. (2016). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo.
    In: EIEF Working Papers Series.
    RePEc:eie:wpaper:1613.

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  26. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano ; Lane, Philip R.
    In: EIEF Working Papers Series.
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  27. The sovereign-bank diabolic loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Lane, Philip ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano.
    In: LSE Research Online Documents on Economics.
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  28. The sovereign-bank diabolic loop and ESBies. (2016). Vayanos, Dimitri ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; van Nieuwerberg, Stijn ; Santos, Tano ; Lane, Philip R.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:65863.

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  29. Bank exposures and sovereign stress transmission. (2016). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo ; Carlo Altavilla , .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161969.

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  30. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano ; Lane, Philip R.
    In: CEPR Discussion Papers.
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  31. Bank Exposures and Sovereign Stress Transmission. (2016). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11269.

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  32. Short-Selling Bans and Bank Stability. (2016). Pagano, Marco ; Beber, Alessandro ; Fabbri, Daniela .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11090.

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  33. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Lane, Philip ; Garicano, Luis ; Brunnermeier, Markus ; Vayanosy, Dimitri ; Santos, Tano.
    In: Discussion Papers.
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  34. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano ; Lane, Philip R.
    In: CEP Discussion Papers.
    RePEc:cep:cepdps:dp1414.

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  35. Sovereign Risk and Bank Risk-Taking. (2016). Ari, Anil.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1665.

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  36. Asset Encumbrance, Bank Funding and Financial Fragility. (2016). Chapman, James ; Ahnert, Toni ; Gai, Prasanna ; Anand, Kartik.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-16.

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  37. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano ; Lane, Philip R.
    In: American Economic Review.
    RePEc:aea:aecrev:v:106:y:2016:i:5:p:508-12.

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  38. Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area. (2015). Rieth, Malte ; Fratzscher, Marcel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1448.

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  39. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2015). Rieth, Malte ; Fratzscher, Marcel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10370.

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  40. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area. (2014). Rieth, Malte ; Fratzscher, Marcel.
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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  41. Sovereign Defaults, Bank Runs, and Contagion. (2014). Luck, Stephan ; Schempp, Paul .
    In: Discussion Paper Series of the Max Planck Institute for Research on Collective Goods.
    RePEc:mpg:wpaper:2014_15.

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References

References cited by this document

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  6. Altavilla, C., Pagano, M., and Simonelli, S., (2015), Bank Exposures and Sovereign Stress Transmission, CSEF working paper 410.
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  15. ECB Working Paper 2067, May 2017 Figure 1: The Irish crisis.
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  16. ECB Working Paper 2067, May 2017 Figure 2: German banks CDS and sovereign bond yield.
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  17. ECB Working Paper 2067, May 2017 Figure 3: Guarantees and Crises. The figure shows how the overall effect of an increase of the size of the guarantees on the probability of a banking crisis and a sovereign default depends on the magnitude of the direct effect of the guarantees on the investors’ threshold ∆ 𝛾𝛾 and on how this compares with that on depositors’ threshold ∆ 𝛾𝛾 . When ∆ 𝛾𝛾 < 𝑑𝑥 𝐺 𝑑𝑥 𝐵 ∆ 𝛾𝛾 , increasing the guarantees has a beneficial effect both on banks’ and sovereign’s stability. When 𝑑𝑥 𝐺 𝑑𝑥 𝐵 ∆ 𝛾𝛾 < ∆ 𝛾𝛾 < ∆ 𝛾𝛾 𝑑𝑥 𝐵 𝑑𝑥 𝐺 , increasing the size of the guarantees is only beneficial for financial stability. When ∆ 𝛾𝛾 𝑑𝑥 𝐵 𝑑𝑥 𝐺 <∆ 𝛾𝛾 , it is detrimental for both financial and sovereign stability.
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  18. ECB Working Paper 2067, May 2017 Figure 4: Sovereign bonds yield as a function of the growth rate of the economy Y. When the growth rate of the economy is very high (𝑌 > 𝑌 � 𝐺 ), the probability of a sovereign default is zero. In this range, the investors do not take any risk in rolling over the investment in sovereign bonds. As a consequence, the government offers them 𝑟 𝐺1 = 𝑟 𝐺0 = and all investors roll over the investment in sovereign bonds. As the state of the economy worsens, the government has to offer a higher interest rate 𝑟 𝐺1 > to induce investors to roll over. When the state of the economy Y falls below 𝑌 𝐺 𝑔 (𝑟̂ 𝐺1 ), there is no interest rate that will induce investors to roll over and the government defaults.
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  19. ECB Working Paper 2067, May 2017 Government available resources Government disbursement for the guarantees Poorly liquid sovereign bonds (𝑝 𝑏 < 1) (-) (+) Highly liquid sovereign bonds (𝑝 𝑏 > 1) (-) (-)
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  33. This is the case because, for n > n(i), a depositor obtains the same repayment at date 2 and date 1 and n(i) is decreasing in i. So, using the terminology in Goldstein and Pauzner (2005), the depositors’problem exhibits only the property of one-sided global strategic complementarity in both depositors’and investors’ actions. Despite this, building on their proof, it can be still shown that a unique threshold equilibrium exists for the depositors when they believe that investors behave according to the threshold strategy xg G. Recall that the proportion of investors not rolling over and that of depositors running are given by (13) and (14), respectively. Then, for given xg B and xg G it follows that for any realization of Y , the proportion of depositors running and investors not rolling over are deterministic and I denote them simply as i (Y ) and n(Y ). The former (i.e., i (Y )) is a number between 0 and 1, the latter (i.e., n (Y )) is a number in the range [ ; 1].
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  31. Banks and Sovereign Risk: A Granular View. (2015). Ohls, Jana ; Koetter, Michael ; Buch, Claudia.
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  33. Multinational banks deleveraging in the crisis driven by pre-crisis characteristics and behavior. (2015). Frey, Rainer .
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  34. The Information in Systemic Risk Rankings. (2015). Schwaab, Bernd ; Nucera, Federico ; Lucas, Andre ; Koopman, Siem Jan.
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  35. The Intertwining of financialisation and financial instability. (2015). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome.
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  36. Central Bank Interventions, Demand for Collateral, and Sovereign Borrowing Costs. (2015). Fonseca, Luís ; Faria-e-Castro, Miguel ; Crosignani, Matteo.
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  37. The Portuguese Banking System during the Sovereign Debt Crisis. (2015). Fonseca, Luís ; Faria-e-Castro, Miguel ; Crosignani, Matteo.
    In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
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  38. Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates. (2015). Mirdala, Rajmund.
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  39. A national public bank to finance a euro zone government: Getting the funds for investment and recovery packages. (2015). Picek, Oliver.
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  40. Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis. (2015). Beltratti, Andrea ; Stulz, Rene M..
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  44. Transmission channels of systemic risk and contagion in the European financial network. (2015). Paltalidis, Nikos ; Koutelidakis, Yiannis ; Kizys, Renatas ; Gounopoulos, Dimitrios.
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  45. Sovereign stress, unconventional monetary policy, and SME access to finance. (2015). Udell, Gregory ; Popov, Alexander ; Ferrando, Annalisa.
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  46. Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops. (2015). Tirole, Jean ; Farhi, Emmanuel.
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  47. Central Bank Collateral Frameworks. (2015). Nyborg, Kjell.
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  48. Determinants and Valuation Effects of the Home Bias in European Banks Sovereign Debt Portfolios. (2015). Ioannidou, Vasso ; Huizinga, Harry ; Horvath, Balint.
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  49. Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystems LTROs.. (2015). Mésonnier, Jean-Stéphane ; fraisse, henri ; Cahn, Christophe ; Andrade, Philippe ; J-S. Mesonnier, .
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