Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano - International Monetary Fund (IMF) - 2014
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 …