Liquidation Value and Loan Pricing: Evidence From Repo Markets

Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David

doi:10.2139/ssrn.3633769

Cited by 1 publication

(2 citation statements)

References 31 publications

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“…We end the sample period for all countries in September 2012, the month during which the details of the Outright Monetary Transactions (OMT) Program of the ECB were announced. 7,8 We show in 6 January 2009 is the first month for which comprehensive data on maturing debt are available. 7 The OMT Program was first hinted at by ECB President Mario Draghi in a speech at the Global Investment Conference in London on July 26, 2012, in which he vowed to do "whatever it takes" to keep the Eurozone together.…”

Section: Empirical Methodologymentioning

confidence: 99%

“…https://www.ecb.europa.eu/press/key/date/2012/html/sp120726.en.html. 8 We let our sample period end here because even though stress in government bond markets subsided, the period after Draghi's speech is still fundamentally different from the pre-sovereign debt crisis. As a result, comparing only with the period directly preceding the sovereign debt crisis is more appropriate.…”

Section: Empirical Methodologymentioning

confidence: 99%

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

Ongena

Popov

Horen

2019

American Economic Journal: Macroeconomics

108

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Using proprietary data on banks’ monthly securities holdings, we show that during the European sovereign debt crisis, domestic banks in fiscally stressed countries were considerably more likely than foreign banks to increase their holdings of domestic sovereign bonds during months when the government needed to roll over a relatively large amount of maturing debt. This result cannot be explained by risk shifting, carry trading, or regulatory compliance. Domestic banks that received government support, are small, or with weaker balance sheets were particularly susceptible to “moral suasion,” while governance of banks played less of a role. (JEL D72, E62, G21, G28, H11, H63).

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