Augustin, P., Boustanifar, H., Breckenfelder, J. and Schnitzler, J. (2018). Sovereign to Corporate Risk Spillovers Journal of Money, Credit and Banking, 50(5):857--891.
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Affiliated authorJan Schnitzler
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Publication year2018
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JournalJournal of Money, Credit and Banking
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.