Augustin, Patrick, Boustanifar, Hamid, Breckenfelder, Johannes, Schnitzler, Jan, (2016), “Sovereign to corporate risk spillovers”, Working Paper Series No. 1878, European Central Bank, January
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.
Relevant Posts
- Asonuma, Tamon, Trebesch, Christoph, (2015), “Sovereign Debt Restructurings: Preemptive or Post-Default”, Centre for Economic Policy Research, November.
- Korte, J. & Steffen, S. (2014) “A ‘sovereign subsidy’ – zero risk weights and sovereign risk spillovers“, VoxEU Organisation, 07 September