Domestic Banks As Lightning Rods? Home Bias and Information during the Eurozone Crisis
研究了欧元区危机期间银行增持本国政府债务的现象，发现信息摩擦导致外国银行在主权风险上升时反而增加对危机国私人部门的敞口，挑战了仅关注主权债务的现有文献。
Abstract European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank‐level data set covering the entire timeline of the Eurozone crisis, I first reconfirm that the crisis led to the reallocation of sovereign debt from foreign to domestic banks. In contrast to the recent literature focusing only on sovereign debt, I show that the banks' private‐sector exposures were (at least) equally affected by the rise in home bias. Consistent with this pattern, I propose a new debt reallocation channel based on informational frictions and show that the informationally closer foreign banks increase their relative exposures when the sovereign risk rises. The effect of informational closeness is economically meaningful and robust to the use of different information measures and controls for alternative channels of sovereign debt reallocation.