Arbeitspapier
Sovereign risk and corporate cost of borrowing: Evidence from a counterfactual study
We assess the impact of the sovereign risk spill-overs onto corporate cost of borrowing in selected euro area countries. We utilize a novel nonparametric dependence filtering frame- work to remove the effects of sovereign risk in the interest rate pass-through context. The main findings confirm the heterogeneity in sovereign risk spill-overs. We also find divergence in sovereign risk transmission between core and peripheral Member States during financial and sovereign debt crises. We discover that the standard linear models may underestimate the underlying pass-through distortions, suggesting the existence of nonlinear sovereign risk effects.
- ISBN
-
978-92-861-3755-6
- Sprache
-
Englisch
- Erschienen in
-
Series: EIB Working Papers ; No. 2018/05
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
counterfactual distributions
nonparametric methods
sovereign risk
cost of borrowing
pass-through
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wolski, Marcin
- Ereignis
-
Veröffentlichung
- (wer)
-
European Investment Bank (EIB)
- (wo)
-
Luxembourg
- (wann)
-
2018
- DOI
-
doi:10.2867/801038
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wolski, Marcin
- European Investment Bank (EIB)
Entstanden
- 2018
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