Sovereign Debt Exposure of European Less Significant Banks: Too Small to be Bailed

  1. Mariña Martínez Malvar
  2. Laura Baselga Pascual
Revista:
UCJC Business & Society Review

ISSN: 2659-3270

Año de publicación: 2022

Volumen: 19

Número: 3

Páginas: 18-87

Tipo: Artículo

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Otras publicaciones en: UCJC Business & Society Review

Resumen

Este trabajo estudia los determinantes de las carteras de deuda soberana de los bancos europeos considerados “no significativos”. Abarcamos el periodo de tiempo comprendido entre 2010 y 2017, incluyendo la crisis de deuda en Europa. Nuestros principales resultados indican que la capitalización y la calidad crediticia determinan la exposición a la deuda soberana de las entidades menos significativas (LSI). Proporcionamos apoyo empírico a la literatura anterior que muestra que la capitalización bancaria está correlacionada negativamente con la exposición a la deuda soberana. Inesperadamente, encontramos que la calidad crediticia está positivamente correlacionada con la exposición a la deuda soberana de las LSI, lo que podría explicarse por la naturaleza conservadora de su modelo de negocio junto con su menor tamaño, que las hace "no demasiado grandes para quebrar", lo que conduce a una mayor aversión al riesgo y a una política de préstamos más eficiente. Aplicamos un estimador del sistema GMM para abordar la endogeneidad y la heterogeneidad no observada. En general, nuestros resultados contribuyen a una mejor comprensión de los determinantes del riesgo de los LSI, enriqueciendo el debate sobre la supervisión y la proporcionalidad de la regulación para los pequeños bancos europeos.

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