The major focus of this paper is on the sovereign–banks relationship following the COVID-19 pandemic crisis outbreak, with a view to gaining an insight into banks’ exposure to the sovereign. We rely on a series of complementary research approaches, such as desk research, comparative statistical analysis, exploratory learning algorithm, and a deterministic panel regression framework. The analysis reveals that most EU countries were not prepared for the pandemic crisis as they lacked a financial security buffer. The growing fiscal pressure and lockdown restrictions additionally resulted in an increase in banks’ exposure to the government debt market and higher government debt securities exposure on their balance sheets. One of the novelties of the research is the adoption of the gap method in order to measure the changes between banking assets major items (government securities vs. loans) and uncovering the preference for holding a specific type of asset. Additional insight is brought by the clustering solution, which shows increased cross-country heterogeneity in terms of the sovereign–banks relationship. Empirical research shows that banks’ involvement in the sovereign debt market is sensitive mainly to negative information related to pandemic occurrence and, to a lower extent, to positive information reflected by government’s reactions and economic stimulus measures. In addition, our results reveal there is no crowding-out effect triggered by the pandemic, in terms of lending to the sovereign against lending to the real economy. In the pandemic onset banks did not proceed to a sharp portfolio rebalancing in favor of the sovereign.

中文翻译：

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面对 COVID-19 大流行爆发的主权银行关系——来自欧盟成员国的证据

本文的主要重点是 COVID-19 大流行危机爆发后的主权-银行关系，以期深入了解银行对主权的敞口。我们依靠一系列互补的研究方法，例如案头研究、比较统计分析、探索性学习算法和确定性面板回归框架。分析显示，大多数欧盟国家没有为大流行危机做好准备，因为它们缺乏金融安全缓冲。不断增长的财政压力和封锁限制还导致银行对政府债券市场的敞口增加，资产负债表上的政府债务证券敞口增加。该研究的创新之处之一是采用缺口法来衡量银行资产主要项目（政府证券与贷款）之间的变化，并揭示持有特定类型资产的偏好。集群解决方案带来了额外的洞察力，这表明主权-银行关系方面的跨国异质性增加。实证研究表明，银行参与主权债务市场主要对与疫情发生相关的负面信息敏感，对政府反应和经济刺激措施所反映的积极信息的敏感程度较低。此外，我们的结果显示，在向主权国家贷款与向实体经济贷款方面，不存在由大流行引发的挤出效应。