Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258885 
Year of Publication: 
2022
Series/Report no.: 
IWH Discussion Papers No. 3/2018
Version Description: 
This version: May 2022
Publisher: 
Halle Institute for Economic Research (IWH), Halle (Saale)
Abstract: 
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 nonfinancial firms' refinancing costs in the Euro area during the European debt crisis and how they did affect the monetary transmission mechanism. We identify the increasing effect of government bond yield spreads (sovereign stress) and the share of non-performing loans (banking stress) on firms' financing costs using an instrumental-variable approach. Moreover, we estimate both sources of stress to have significantly impaired the monetary transmission mechanism during the European debt crisis.
Subjects: 
banking stress
firms' financing conditions
government bond yields
interest rate channel
monetary policy transmission
sovereign stress
JEL: 
E43
E44
E52
Document Type: 
Working Paper

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