文章基本信息

标题：The sovereign-bank diabolic loop and ESBies
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作者：Markus Brunnermeier ; Luis Garicano ; Philip Lane 等
期刊名称：CEP Discussion Paper
出版年度：2016
卷号：2016
语种：English
出版社：Centre for Economic Performance
摘要：We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can be avoided by restricting banks domestic sovereign exposures relative to their equity. Second, equity requirements can be lowered if banks only hold senior domestic sovereign debt. Third, such requirements shrink even further if banks only hold the senior tranche of an internationally diversified sovereign portfolio known as ESBies in the euro-area context. Finally, ESBies generate more safe assets than domestic debt tranching alone; and, insofar as the diabolic loop is defused, the junior tranche generated by the securitization is itself risk-free.
关键词：‘diabolic loop’;sovereign debt crisis;ESBies