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Book Cover
Author Gennaioli, Nicola.

Title Banks, Government Bonds, and Default
Published Washington : International Monetary Fund, 2014
Online access available from:
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Description 1 online resource (54 pages)
Series IMF Working Papers ; v. Working Paper No. 14/120
IMF Working Papers
Contents Cover; Table of Contents; 1. Introduction; 2. Data; 2.1. Bondholdings and Returns Data1; 2.2. Summary Statistics of other Bank-Level Variables; 3. Determinants of Banks' Bondholdings; 3.1 Methodology; 3.2. Results; 4. Default, Bondholdings and Loans; 4.1 Methodology; 4.2. Results; 5. Interpretations and Implications of our Findings; References; Tables; Appendix
Summary We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light o
Notes Print version record
Form Electronic book
Author Martin, Alberto.
Rossi, Stefano.
ISBN 1498320899