Sovereign to Corporate Risk Spillovers
Sovereign to Corporate Risk Spillovers
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DOI：
10.1111/jmcb.12497
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发表时间：
2018-08-01
影响因子：
1.5
通讯作者：
Schnitzler, Jan
中科院分区：
文献类型：
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作者：
Augustin, Patrick;Boustanifar, Hamid;Schnitzler, Jan
2010年4月11日的第一次希腊救助引发了对整个欧洲主权信用风险的重大重新评估。我们利用这一事件来研究主权信用风险向企业信用风险的传导。主权信用风险增加10%，救助后企业信用风险平均增加1.1%。证据表明，通过金融和财政渠道，主权信用风险对企业信用风险的溢出效应，因为这种效应对依赖银行或政府的企业更为明显。我们认为，通过宏观经济基本面恶化间接传递风险的说法并不成立。
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.