What drives banks’ appetite for sovereign debt in CEE countries?
In this paper, we provide the first analysis of the level and determinants of sovereign exposure of banking systems in Central and Eastern European (CEE) countries, thus contributing to the existing literature on sovereign exposures and the sovereign-bank nexus. Results of descriptive analysis showe...
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| Format: | Article |
| Language: | English |
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Institute of Public Finance
2020-05-01
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| Series: | Public Sector Economics |
| Subjects: | |
| Online Access: |
http://www.pse-journal.hr/upload/files/pse/2020/2/2.pdf
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| _version_ | 1828765612290080768 |
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| author | Antonija Buljan Milan Deskar-Skrbic Mirna Dumicic |
| author_facet | Antonija Buljan Milan Deskar-Skrbic Mirna Dumicic |
| author_sort | Antonija Buljan |
| collection | DOAJ |
| description | In this paper, we provide the first analysis of the level and determinants of sovereign exposure of banking systems in Central and Eastern European (CEE) countries, thus contributing to the existing literature on sovereign exposures and the sovereign-bank nexus. Results of descriptive analysis showed that exposure to sovereign debt securities in CEE countries is substantially higher than in euro area countries, which can be explained by the lower development of financial markets in this region. We also found evidence of home-bias in CEE and emphasized the role of different monetary policy regimes in explaining differences in exposure among CEE countries. Results of panel analysis showed that changes of debt securities in bank balance sheets in CEE countries are mostly determined by broader macroeconomic conditions and to a lesser extent by their regulatory frameworks. In addition, we did not find evidence of so-called reach-for-yield behaviour. Our results indicate that efforts to reduce sovereign exposure in CEE countries require strong collaboration of not only regulators, but also of fiscal authorities and other policy makers able to contribute to the development of financial markets in this region. Moreover, regulators should especially focus on reducing the home-bias in CEE. |
| first_indexed | 2024-12-11T06:50:21Z |
| format | Article |
| id | doaj.art-005d03f1d785407190ebf15e2b6859ee |
| institution | Directory Open Access Journal |
| issn | 2459-8860 |
| language | English |
| last_indexed | 2024-12-11T06:50:21Z |
| publishDate | 2020-05-01 |
| publisher | Institute of Public Finance |
| record_format | Article |
| series | Public Sector Economics |
| spelling | doaj.art-005d03f1d785407190ebf15e2b6859ee2022-12-22T01:16:55ZengInstitute of Public FinancePublic Sector Economics2459-88602020-05-0144217920110.3326/pse.44.2.25508What drives banks’ appetite for sovereign debt in CEE countries?Antonija Buljan0Milan Deskar-Skrbic1Mirna Dumicic2 Department of Finance, Faculty of Economics and Business Zagreb, University of Zagreb, Zagreb, Croatia Modelling Department, Croatian National Bank, Zagreb, Croatia Financial Stability Department, Croatian National Bank, Zagreb, Croatia In this paper, we provide the first analysis of the level and determinants of sovereign exposure of banking systems in Central and Eastern European (CEE) countries, thus contributing to the existing literature on sovereign exposures and the sovereign-bank nexus. Results of descriptive analysis showed that exposure to sovereign debt securities in CEE countries is substantially higher than in euro area countries, which can be explained by the lower development of financial markets in this region. We also found evidence of home-bias in CEE and emphasized the role of different monetary policy regimes in explaining differences in exposure among CEE countries. Results of panel analysis showed that changes of debt securities in bank balance sheets in CEE countries are mostly determined by broader macroeconomic conditions and to a lesser extent by their regulatory frameworks. In addition, we did not find evidence of so-called reach-for-yield behaviour. Our results indicate that efforts to reduce sovereign exposure in CEE countries require strong collaboration of not only regulators, but also of fiscal authorities and other policy makers able to contribute to the development of financial markets in this region. Moreover, regulators should especially focus on reducing the home-bias in CEE. http://www.pse-journal.hr/upload/files/pse/2020/2/2.pdf sovereign-bank nexus; banks’ exposure to sovereign debt; cee; panel regressions |
| spellingShingle | Antonija Buljan Milan Deskar-Skrbic Mirna Dumicic What drives banks’ appetite for sovereign debt in CEE countries? Public Sector Economics sovereign-bank nexus; banks’ exposure to sovereign debt; cee; panel regressions |
| title | What drives banks’ appetite for sovereign debt in CEE countries? |
| title_full | What drives banks’ appetite for sovereign debt in CEE countries? |
| title_fullStr | What drives banks’ appetite for sovereign debt in CEE countries? |
| title_full_unstemmed | What drives banks’ appetite for sovereign debt in CEE countries? |
| title_short | What drives banks’ appetite for sovereign debt in CEE countries? |
| title_sort | what drives banks appetite for sovereign debt in cee countries |
| topic | sovereign-bank nexus; banks’ exposure to sovereign debt; cee; panel regressions |
| url |
http://www.pse-journal.hr/upload/files/pse/2020/2/2.pdf
|
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