International Evidence on the Determinants of Domestic Sovereign Debt Bank Holdings

Abstract

In this paper, we examine the determinants of bank holdings of domestic sovereign debt with a panel dataset of 295 banks in 35 countries between 2002 and 2013. The findings indicate that the structure of bank ownership (domestic, foreign, or government ownership), the quality of governance, and the level of financial development of the countries in which banks operate all determine the level of home bias. Specifically, we find that domestic banks tend to hold more domestic sovereign debt relative to their foreign counterparts. We also provide evidence that home bias is even stronger when the domestic bank is controlled by its government. Moreover, home bias increases when government bonds are more risky, home governments are less effective, and when banking systems are less financially developed. Overall, we find that banks' home bias in holding sovereign debt is an international phenomenon that is determined by both bank-and country-specific factors.

The Invisible Hand of the Government: Moral Suasion during the European Sovereign Debt Crisis

“…Our sample includes 46 domestic and 14 foreign banks, with at least one domestic and one foreign bank active in each of our sample countries. 10 Our main variable of interest is ∆ Domestic sovereign bonds , defined as the ratio of the bank's net flow of securities issued by the domestic sovereign at time t to the bank's total holdings of securities issued by the domestic sovereign at time t − 1. By using the flow and normalizing by the stock, we proxy for the change in total holdings that is due to the purchase of new domestic sovereign debt, and at the same time make sure that we do not overweigh banks with large holdings of domestic sovereign bonds.…”

“…The database covers 77 banks active in these countries, however, we were not able to determine the ownership status of five of them and another 12 banks did not report information on domestic sovereign bond holdings during the sample period (January 2009-September 2012) so we dropped them as well 10. Our sample includes 3 domestic and 2 foreign banks in Greece, 4 domestic and 4 foreign banks in Ireland, 18 domestic and 3 foreign banks in Italy, 3 domestic and 2 foreign banks in Portugal, and 18 domestic and 3 foreign banks in Spain.…”

Боргова Залежність І Девальваційний Цикл В Українській Економіці

“…У дослідженні щодо міжнародних даних про розмір та фактори формування внутрішніх державних боргових зобов'язань банків Д. Чронопоулос, Ґ. Доціс та Н. Мілонас аналізують дані 295 банків із 35 країн світу за період з 2002 до 2013 року. Автори роблять висновок, що структура власності банків, якість управління та рівень фінансового розвитку країн, у яких працюють банки, визначають рівень боргової залежності [16]. У науковій праці з назвою «Чи може державний борг стимулювати державні інвестиції та економічне зростання в Південній Африці?» автори доводять, що державний борг впливає на державні інвестиції та в кінцевому підсумку на економічне зростання країни в цілому [17].…”