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Sovereign to corporate risk spillovers

Augustin, Patrick, Boustanifar, Hamid, Breckenfelder, Johannes, Schnitzler, Jan, (2016), “Sovereign to corporate risk spillovers”, Working Paper Series No. 1878, European Central Bank, Ιανουάριος

Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These effects are more pronounced in countries that belong to the Eurozone and that are more financially distressed. Bank dependence, public ownership and the sovereign ceiling are channels that enhance the sovereign to corporate risk transfer.

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