Credit Risk in the Euro Area

Simon Gilchrist and Benoit Mojon

Economic Journal, 2018, vol. 128, issue 608, 118-158

Abstract: We construct credit risk indicators for euro area banks and non†financial corporations. These indicators reveal that the financial crisis of 2008 dramatically increased the cost of market funding for both banks and non†financial firms. In contrast, the prior recession following the 2000 US dot†com bust led to widening credit spreads of non†financial firms but had no effect on the credit spreads of financial firms. The 2008 financial crisis also led to a systematic divergence in credit spreads for financial firms across national boundaries. Credit spreads provide substantial predictive content for real activity and lending measures for the euro area as a whole and for individual countries.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (99)

Downloads: (external link)
https://doi.org/10.1111/ecoj.12427

Related works:
Working Paper: Credit Risk in the Euro area (2014)
Working Paper: Credit Risk in the Euro Area (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:econjl:v:128:y:2018:i:608:p:118-158

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1468-0297

Access Statistics for this article

Economic Journal is currently edited by Estelle Cantillon, Martin Cripps, Andrea Galeotti, Morten Ravn, Kjell G. Salvanes, Frederic Vermeulen, Hans-Joachim Voth and Rachel Kranton

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().