Arbeitspapier
Sovereign stress, banking stress, and the monetary transmission mechanism in the Euro area
In this paper, we investigate to what extent sovereign stress and banking stress have contributed to the increase in the level and in the heterogeneity of non-financial firms' financing costs in the Euro area during the European debt crisis and how both have affected the monetary transmission mechanism. Employing a large firm-level data set containing 2 million observations we are able to identify the effect of government bond yield spreads (sovereign stress) and the share of non-performing loans (banking stress) on firms' financing costs in a panel model by assuming that idiosyncratic shocks to individual firms are uncorrelated with country-specific variables. We find that the two sources of stress have increased firms' financing costs controlling for country and firm-specific factors. Moreover, we estimate both to have significantly impaired the monetary transmission mechanism.
- Sprache
-
Englisch
- Erschienen in
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Series: ADBI Working Paper ; No. 811
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Monetary Policy
- Thema
-
Banking stress
firms' financing conditions
government bond yields
interest rate channel
monetary policy transmission
sovereign stress
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Holtemöller, Oliver
Scherer, Jan-Christopher
- Ereignis
-
Veröffentlichung
- (wer)
-
Asian Development Bank Institute (ADBI)
- (wo)
-
Tokyo
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Holtemöller, Oliver
- Scherer, Jan-Christopher
- Asian Development Bank Institute (ADBI)
Entstanden
- 2018
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