Sovereign default risk and depositor behavior : the case of Greece
Date
2013-07
Authors
Picorelli, Julieta Laura
relationships.isContributorOfPublication
Martínez Peria, María Soledad
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
This thesis studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It
briefly describes the evolution of the Greek crisis and then formally tests the main hypothesis
that during that period depositors react more to sovereign risk than to the idiosyncratic
indicators of bank health. Using a quarterly panel dataset of Greek banks from June 2005 to
September 2012, this paper finds that the withdrawal of deposits at the outbreak of the crisis
can be mainly explained by the country risk variable, represented by sovereign spreads,
controlling for bank-specific characteristics. Market discipline is also present, especially in
the pre-crisis period. These results are consistent with the existing literature and robust to
different estimation methods and macroeconomic risk variables.
Description
Fil: Picorelli, Julieta Laura. Universidad de San Andrés. Departamento de Economía; Argentina.
Keywords
Bank deposits -- Greece -- Statistical methods. , Country risk -- Greece -- Statistical methods. , Financial crises -- Greece -- Statistical methods. , Depósitos bancarios -- Grecia -- Métodos estadísticos. , Riesgo país -- Grecia -- Métodos estadísticos. , Crisis financieras -- Grecia -- Métodos estadísticos.