| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10661 |
| DP10661 Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios | |
| Harry Huizinga; Vasso Ioannidou; Bálint Horváth | |
| 发表日期 | 2015-06-21 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We document that large European banks hold sovereign debt portfolios heavily biased toward domestic government debt. This bias is stronger if the sovereign is risky and shareholder rights are strong, as evidence of a risk-shifting explanation of the home bias. In addition, the bias is stronger if the sovereign is risky and the government has positive ownership in the bank, as evidence of a government pressure channel. The home bias is positively valued by the stock market, as reflected by a positive association between the home bias and Tobin?s q. The home bias premium declines with domestic sovereign risk, but less so for highly leveraged banks, suggesting that both the risk-shifting and government pressure channels are operative. The European Central Bank?s large injections of liquidity in December 2011 and February 2012 reduced the marginal value of the home bias by allowing banks to expand their exposure to domestic government debt. |
| 主题 | Financial Economics |
| 关键词 | Bank valuation Government ownership Home bias Ltro Moral suasion Risk-shifting Shareholder rights Sovereign debt crisis |
| URL | https://cepr.org/publications/dp10661 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539493 |
| 推荐引用方式 GB/T 7714 | Harry Huizinga,Vasso Ioannidou,Bálint Horváth. DP10661 Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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