Sovereign to Corporate Risk Spillovers

Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder, Jan Schnitzler

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)857-891
Number of pages35
JournalJournal of Money, Credit and Banking
Volume50
Issue number5
DOIs
Publication statusPublished - Aug 2018

Fingerprint

Spillover
Credit risk
Bailout
Macroeconomic fundamentals
Government
Fiscal
Deterioration

Keywords

  • bailout
  • contagion
  • credit risk
  • F34
  • F36
  • G12
  • G15
  • Greece
  • H81
  • risk transmission

Cite this

Augustin, Patrick ; Boustanifar, Hamid ; Breckenfelder, Johannes ; Schnitzler, Jan. / Sovereign to Corporate Risk Spillovers. In: Journal of Money, Credit and Banking. 2018 ; Vol. 50, No. 5. pp. 857-891.
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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

Sovereign to Corporate Risk Spillovers. / Augustin, Patrick; Boustanifar, Hamid; Breckenfelder, Johannes; Schnitzler, Jan.

In: Journal of Money, Credit and Banking, Vol. 50, No. 5, 08.2018, p. 857-891.

Research output: Contribution to JournalArticleAcademicpeer-review

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