Sovereign default risk and depositor behavior : the case of Greece

• Autores: Picorelli, Julieta Laura
• Año de publicación: 2013
• Idioma: inglés
• Tipo de recurso: tesis de maestría
• Colaborador/a o director/a de tesis: Martínez Peria, María Soledad
• Materia: 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.
• Institución: Universidad de San Andrés

Fil: Picorelli, Julieta Laura. Universidad de San Andrés. Departamento de Economía; Argentina.
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.