银行的政府债务组合与主权风险：从避风港到惊涛骇浪

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-12 DOI:10.1016/j.frl.2024.106277

António Afonso , José Alves , Sofia Monteiro

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引用次数: 0

摘要

我们运用面板回归和量阶分析方法，分析了 31 个国家的国内银行、外国银行和中央银行在 1989-2022 年期间的公债持有量。我们的结论是，与 2010 年之前的观察结果相反，我们发现 2010 年之后，主权风险的增加会提高国内银行公债投资组合的份额，降低中央银行的持有比例。更好的主权配比也会增加（减少）商业银行（中央银行）的持有份额。此外，自 2010 年金融危机以来，国内投资者面临的风险增加的影响也有所增大。

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Banks’ portfolio of government debt and sovereign risk: From safe havens to stormy seas

We analyse 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 contrarily to what we observe before 2010, we found that after 2010 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 rations 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.¹

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance