出版社：Economic Laboratory for Transition Research Podgorica
摘要：The European government bonds are considered a safe investment
among the asset managers and investors. For instance, commercial
banks as portfolio holders use them to achieve additional yields,
and to store liquidity in them or to refinance via them, when government
bonds serve as a collateral in the refinancing operations.
The financial and debt crisis changed the view of the European
government bonds as the safest form of investment. Considering
this economic development, some advanced European countries
failed to meet their liabilities resulting from issued bonds towards
their holders. In this analysis, a focus is laid on the contemporary
issues related to government bondholdings by commercial banks in
view of the current financial crisis conditions. Based on the European
Central Bank data, we analyse the relationship between the
credit rating of the bond and the ten-year interest rates of government
bonds by means of the panel regression on the bondholding
of commercial banks in the period from 2010 to 2014. Our regression
suggests that there is a statistically significant correlation
between these independent variables and bondholding. A preferential
treatment of the government bonds as the risk-free assets
might lead to an overexposure of the commercial banks to the
domestic bonds. As an implication, we summaries the proposals for
treating overexposure of commercial banks to national debts in the
recent time.
关键词：financial crisis;
debt crisis;
government bonds;
credit quality;
bondholding;
commercial banking;
European Union
