期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：In European countries recently hit by a sovereign debt crisis, the share of domestic sov-ereign debt held by the national banking system has sharply increased, raising issues in theireconomic and nancial resilience, as well as in policy design. This paper examines these issuesby analyzing the banking equilibrium in a model with optimizing banks and depositors. Tothe extent that sovereign default causes bank losses also independently of their holding ofdomestic government bonds, under-capitalized banks have an incentive to gamble on thesebonds. The optimal reaction by depositors to insolvency risk imposes discipline, but alsoleaves the economy susceptible to self-ful lling shifts in sentiments, where sovereign defaultalso causes a banking crisis. Policy interventions face a trade-o¤ between alleviating fundingconstraints and strengthening incentives to gamble. Liquidity provision to banks may elim-inate the good equilibrium when not targeted. Targeted interventions have the capacity toeliminate adverse equilibria.
关键词：Sovereign Debt Crises; Bank Risk-Taking; Financial Constraints; Eurozone
