{
  "title": "Sovereign Risk and Deposit Dynamics: Evidence from Europe",
  "publication": "IMF Working Papers, July 22, 2016",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116",
  "overlayPath": "/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/index.md",
  "summary": "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.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- Authors: David A. Grigorian, Vlad Manole\n- Publication date: July 22, 2016\n- Scope: Analysis of the impact of sovereign risk perceptions on bank deposit dynamics in Europe during 2006–11.\n- Core proposition: Exposure to sovereign risk may have limited the ability of banks in Europe to attract deposits."
    },
    {
      "heading": "Key findings",
      "content": "- The paper uses an innovative measure of the perception of sovereign risk and links it to deposit dynamics during 2006–11.\n- Using an extension of a common market discipline framework, the analysis shows that exposure to sovereign risk may have constrained banks’ deposit-gathering capacity.\n- The results are robust to inclusion of conventional measures of bank performance and the sector-wide holdings of foreign sovereign debt."
    },
    {
      "heading": "Methodology",
      "content": "- Period analyzed: 2006–11.\n- Framework: Extension of a common market discipline framework.\n- Novelty: Introduction of an innovative way of measuring the perception of sovereign risk and its effect on deposit dynamics."
    },
    {
      "heading": "Robustness and controls",
      "content": "- Robustness tests include:\n  - Conventional measures of bank performance.\n  - Sector-wide holdings of foreign sovereign debt."
    },
    {
      "heading": "Policy implications (implicit from findings)",
      "content": "- Heightened sovereign risk can impair private banks’ ability to attract deposits, suggesting that sovereign balance sheet expansions and sovereign risk perceptions have real implications for banking sector liquidity and funding.\n- Monitoring sovereign exposure and perceived sovereign risk may be important for bank supervisors and policymakers concerned with deposit stability and market discipline.\n\n---\n\n Content in this bundle\n\n- Wp16145\n  - Wp16145 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Wp16145 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/bundle-manifest.json)",
    "Authors: David A. Grigorian, Vlad Manole",
    "Published: July 22, 2016",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781498381833.001",
    "Authors: David A. Grigorian, Vlad Manole",
    "Publication date: July 22, 2016",
    "Scope: Analysis of the impact of sovereign risk perceptions on bank deposit dynamics in Europe during 2006–11.",
    "Core proposition: Exposure to sovereign risk may have limited the ability of banks in Europe to attract deposits.",
    "The paper uses an innovative measure of the perception of sovereign risk and links it to deposit dynamics during 2006–11.",
    "Using an extension of a common market discipline framework, the analysis shows that exposure to sovereign risk may have constrained banks’ deposit-gathering capacity.",
    "The results are robust to inclusion of conventional measures of bank performance and the sector-wide holdings of foreign sovereign debt.",
    "Period analyzed: 2006–11.",
    "Framework: Extension of a common market discipline framework.",
    "Novelty: Introduction of an innovative way of measuring the perception of sovereign risk and its effect on deposit dynamics.",
    "Robustness tests include:",
    "Heightened sovereign risk can impair private banks’ ability to attract deposits, suggesting that sovereign balance sheet expansions and sovereign risk perceptions have real implications for banking sector liquidity and funding.",
    "Monitoring sovereign exposure and perceived sovereign risk may be important for bank supervisors and policymakers concerned with deposit stability and market discipline.",
    "**Wp16145**"
  ],
  "related": [
    {
      "title": "Wp16145",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2016/_wp16145.pdf",
      "summary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2016/_wp16145.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2016/_wp16145.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/index.md",
    "json": "/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/31/sovereign-risk-and-deposit-dynamics-evidence-from-europe-44116/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-18T05:43:15.094Z"
}