The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks

By V. Acharya, Sascha Steffen. 2013

690 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7da9d4ad5014e680a837b488819ec90a198794ab

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Citations in the corpus

Financial Repression in the European Sovereign Debt Crisis (2017, neutral): “Acharya and Steffen (2012), Popov and Van Horen (2014), and Drechsler et al.”
Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy (2020, neutral): “balance sheets (Angelini et al. 2014; Battistini et al. 2013; Acharya and Steffen 2015), while others examine the potential crowding out of private credit by government debt (Ahtik and Albertazzi 2014; Becker and Ivashina 2014b; Peydró et al.”
The Pass-Through of Sovereign Risk (2016, background): “Acharya and Steffen (2013) impute the exposure of major banks to distressed sovereigns in the euro-area, finding that insurance via CDS is likely to be small.”
Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through (2020, neutral): “The Signaling Channel for Federal Reserve Bond Purchases, International Journal of Central Banking, 10(3), 233-289.”
Is there a zero lower bound? The effects of negative policy rates on banks and firms (2019, background): “This deterioration in the countries’ creditworthiness fed back into the financial sector due to banks’ large domestic sovereign exposures (see, e.g., Acharya, Drechsler, and Schnabl, 2014; and Acharya and Steffen, 2015).”
The Interaction of the IFRS 9 Expected Loss Approach with Supervisory Rules and Implications for Financial Stability (2016, neutral): “…In fact, the current regulatory and accounting framework might explain why particularly banks located in GIIPS countries (i.e. Greece, Italy, Ireland, Portugal, Spain) increased primarily their domestic sovereign exposures since the beginning of the sovereign debt crisis (Acharya & Steffen, 2015).”
Exporting Sovereign Stress: Evidence from Syndicated Bank Lending during the Euro Area Sovereign Debt Crisis (2015, background): “Given that the SMP gave those banks the opportunity to reduce their exposures if they wanted to, doing the opposite may be evidence of a “carry trade”-type behaviour whereby banks with access to short-term unsecured funding in wholesale markets undertake longer GIIPS sovereign bond positions, hoping”
National culture and bank risk-taking (2017, neutral): “Existing academic literature also uses it; see for example Acharya et al. (2011); Acharya and Steffen (2015); De Bruyckere et al. (2013); Thanassoulis, (2014); Thiripalraju and Acharya (2010).”
Bank Exposures and Sovereign Stress Transmission (2017, positive): “Indirect evidence on such drivers was first provided by Acharya and Steffen (2015), who document that the loadings of bank stock returns on sovereign debt returns are higher for low-capitalized and recently bailed-out banks.”
The Invisible Hand of the Government: Moral Suasion during the European Sovereign Debt Crisis (2019, positive): “While recent evidence suggests that some of these disbursed funds were used to increase bank lending (Andrade, Cahn, Fraisse, and Mesonnier, 2015; Carpinelli and Crosignani, 2015), others have argued that cheap wholesale funding may have exacerbated some banks’ incentives to load up on”
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016, background): “This led to regulatory arbitrage incentives for banks to hold more government debt; see also Acharya and Steffen (2013). At the same time and due to the banks’ willingness to take on government debt, governments were able to issue large amounts of debt, thus creating a potentially problematic feedba”
Debt Overhang, Rollover Risk, and Corporate Investment: Evidence from the European Crisis (2018, neutral): “The work by Acharya et al. (2014b) use data on syndicated loans in Europe, matched to ORBIS/AMADEUS database, to estimate the effect of shocks to periphery banks on investment of firms who borrow from these banks in the syndicated loan market.”