Sovereign to Corporate Risk Spillovers
| Autor: | Johannes Breckenfelder, Hamid Boustanifar, Jan Schnitzler, Patrick Augustin |
|---|---|
| Přispěvatelé: | Tinbergen Institute, Finance |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
credit risk education Financial system SDG 17 - Partnerships for the Goals Sovereignty Accounting 0502 economics and business Economics F34 050207 economics G12 health care economics and organizations Government 050208 finance Greece F36 05 social sciences G15 risk transmission humanities contagion bailout Sovereign credit risk H81 Finance Credit risk Bailout |
| Zdroj: | Augustin, P, Boustanifar, H, Breckenfelder, J & Schnitzler, J 2018, ' Sovereign to Corporate Risk Spillovers ', Journal of Money, Credit and Banking, vol. 50, no. 5, pp. 857-891 . https://doi.org/10.1111/jmcb.12497 Journal of Money, Credit and Banking, 50(5), 857-891. Wiley-Blackwell |
| ISSN: | 1538-4616 0022-2879 |
| DOI: | 10.1111/jmcb.12497 |
| Popis: | The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the transmission of sovereign to corporate credit risk. A 10% increase in sovereign credit risk raises corporate credit risk on average by 1.1% after the bailout. The evidence is suggestive of risk spillovers from sovereign to corporate credit risk through a financial and a fiscal channel, as the effects are more pronounced for firms that are bank or government dependent. We find no support for indirect risk transmission through a deterioration of macroeconomic fundamentals. |
| Databáze: | OpenAIRE |
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