Bank Lending and the European Sovereign Debt Crisis
By Filippo De Marco. Journal of Financial and Quantitative Analysis, 2018
127 citations recorded by the source corpus.
I investigate whether bank exposures to sovereign debt during the European debt crisis affected the real economy. I show that a shock to the marked-to-market (MTM) value of bank exposures to sovereign debt led to credit tightening in 2010–2011 that had negative real effects on small and young firms. Because banks do not usually mark their holdings of sovereign bonds to market, I explore the transmission channels of the unrealized losses on credit supply. I show that a shock to MTM exposures reduced short-term bank funding from U.S. money market funds rather than affecting equity or working through alternative channels.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/59e61a04f84628ab4e4b3d7ca3d7c4dfc50f4a48
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In Finance
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- Philip E. Strahan
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Citations in the corpus
- Bank Exposures and Sovereign Stress Transmission (2017, unknown): “Second, as illustrated in Table II, our bank loan data cover almost 70% of the corresponding national lending aggregates, compared with the 10% coverage of the syndicated loan data used by Popov and Van Horen (2014), De Marco (2017), and Acharya et al. (2015).”
- The Invisible Hand of the Government: Moral Suasion during the European Sovereign Debt Crisis (2019, unknown): “De Marco (2014) finds that both GIIPS and non‐GIIPS banks exposed to peripheral sovereign debt, contracted their lending more. Altavilla, Pagano, and Simonelli (2015) find that due to peripheral countries’ banks’ large exposures to sovereign debt, increases in sovereign”
- Internal Capital Markets in Times of Crisis: The Benefit of Group Affiliation* (2019, background): “Such shocks can stem from exposure to losses in real estate lending, trading (Chava and Purnanandam, 2011), sovereign debt (Popov and van Horen, 2015; De Marco, 2019), or changes in regulation (Aiyar et al., 2014; Gropp et al., 2019), among others.”