文章基本信息

标题：Fiscal consolidations and bank balance sheets
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作者：Jacopo Cimadomo ; Sebastian Hauptmeier ; Tom Zimmermann 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：We empirically investigate the eects of scal policy on bank balance sheets, focusing on episodes of scal consolidation. To this aim, we employ a very large data set of individual banks' balance sheets, combined with a newly compiled data set on scal consolidations. We nd that standard capital adequacy ratios such as the Tier-1 ratio tend to improve following episodes of scal consolidation. Our results suggest that this improvement results from a portfolio re-balancing from private to public debt securities which reduces the risk-weighted value of assets. In fact, if scal adjustment eorts are perceived as structural policy changes that improve the sustainability of public nances and, therefore, reduces credit risk, the banks' demand for government securities should increases relative to other assets.
关键词：Fiscal consolidations; bank balance sheets; portfolio re-balancing; banking stability.