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Purchases of Sovereign Debt Securities by Italian Banks During the Crisis: The Role of Balance-Sheet Conditions

43 Pages Posted: 29 Sep 2016  

Massimiliano Affinito

Bank of Italy

Giorgio Albareto

Bank of Italy

Raffaele Santioni

Bank of Italy

Date Written: June 6, 2016

Abstract

This paper analyses the main microeconomic determinants of Italian banks’ purchases of sovereign debt securities from 2007 to 2013, with special reference to their balance-sheet conditions. The analysis distinguishes two phases of the crisis – the period following the Lehman Brothers collapse and the sovereign debt crisis – and different types of banks (large and small). Results show that banks’ specific characteristics and balance-sheet features do matter and that banks use government securities purchases to support their financial and economic conditions. The influence of the balance-sheet conditions differs according to the phase of the crisis and the type of bank.

Keywords: financial crisis, securities portfolio, banks’ balance sheets, sovereign risk

JEL Classification: G01, G21, H63

Suggested Citation

Affinito, Massimiliano and Albareto, Giorgio and Santioni, Raffaele, Purchases of Sovereign Debt Securities by Italian Banks During the Crisis: The Role of Balance-Sheet Conditions (June 6, 2016). Bank of Italy Occasional Paper No. 330. Available at SSRN: https://ssrn.com/abstract=2844705 or http://dx.doi.org/10.2139/ssrn.2844705

Massimiliano Affinito (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Giorgio Albareto

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Raffaele Santioni

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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