The Pass-Through of Sovereign Risk
The Pass-Through of Sovereign Risk
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DOI：
10.1086/686734
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发表时间：
2016-08-01
影响因子：
8.2
通讯作者：
Bocola, Luigi
中科院分区：
文献类型：
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作者：
Bocola, Luigi
本文在银行持有国内政府债务的模型中考察了主权风险的宏观经济影响。未来主权违约的消息阻碍了金融中介。首先，它收紧了银行的资金约束，减少了银行用于融资公司的资源（流动性渠道）。其次，它产生了去杠杆化（风险渠道）的预防性动机。我使用意大利的数据对模型进行了估计，发现主权风险是衰退性的，风险渠道相当大。我还使用该模型来衡量对银行的补贴长期贷款的影响。危机最严重时的预防动机意味着银行对企业的贷款对这些干预反应不大。
This paper examines the macroeconomic implications of sovereign risk in a model in which banks hold domestic government debt. News of a future sovereign default hampers financial intermediation. First, it tightens the funding constraints of banks, reducing their resources to finance firms (liquidity channel). Second, it generates a precautionary motive to deleverage (risk channel). I estimate the model using Italian data, finding that sovereign risk was recessionary and that the risk channel was sizable. I also use the model to measure the effects of subsidized long-term loans to banks. Precautionary motives at the height of the crisis imply that bank lending to firms responds little to these interventions.