Arbeitspapier
Sovereign to corporate risk spillovers
Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These effects are more pronounced in countries that belong to the Eurozone and that are more financially distressed. Bank dependence, public ownership and the sovereign ceiling are channels that enhance the sovereign to corporate risk transfer.
- ISBN
-
978-92-899-1691-2
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1878
- Klassifikation
-
Wirtschaft
International Lending and Debt Problems
Financial Aspects of Economic Integration
International Financial Markets
Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
bailout
contagion
credit risk
Greece
risk transmission
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Augustin, Patrick
Boustanifar, Hamid
Breckenfelder, Johannes
Schnitzler, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- DOI
-
doi:10.2866/968883
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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
- Augustin, Patrick
- Boustanifar, Hamid
- Breckenfelder, Johannes
- Schnitzler, Jan
- European Central Bank (ECB)
Entstanden
- 2016
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