Sovereign to Corporate Risk Spillovers

Patrick Augustin (), Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler

Journal of Money, Credit and Banking, 2018, vol. 50, issue 5, 857-891

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.

Date: 2018
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Citations: View citations in EconPapers (56)

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https://doi.org/10.1111/jmcb.12497

Related works:
Working Paper: Sovereign to corporate risk spillovers (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:50:y:2018:i:5:p:857-891

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