The unprecedented expansion of sovereign balance sheets since the global financial crisis has given a new meaning to the term sovereign risk. Developments in Europe since early 2010 presented new challenges for the functioning of private banks in an environment of heightened sovereign risk. This paper uses an innovative way of measuring the perception of sovereign risk and its impact on deposit dynamics during 2006--11. Using an extension of a common market discipline framework, it shows that exposure to sovereign risk may have limited the ability of banks in Europe to attract deposits. The results are robust to inclusion of conventional measures of bank performance and the sector-wide holdings of foreign sovereign debt
Notes
"July 2016."
At head of title: International Monetary Fund, Monetary and Capital Markets Department
Bibliography
Includes bibliographical references (pages 18-20)
Notes
Description based on online resource; title from pdf title page (IMF.org Web site, viewed September 13, 2016)
