Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110188
Authors: 
Gadatsch, Niklas
Year of Publication: 
2015
Series/Report no.: 
Arbeitspapier, Sachverständigenrat zur Begutachtung der Gesamtwirtschaftlichen Entwicklung 01/2015
Abstract: 
This paper develops a small open economy model to investigate the impact of rising sovereign bond market spreads on the real economy. One key element of the model is a "sovereign risk channel" through which tensions in the sovereign bond market tend to spill over into private credit markets. The model is estimated with Bayesian methods and data for "high-spread" countries in the euro area. It turns out that spread shocks during the Euro crisis had a negative effect on real GDP growth in these countries, up to 0.8 percentage points (PP) Portugal and Ireland, 0.3 PP in Italy and 0.2 PP in Spain.
Subjects: 
Small open economy
Business cycles
Sovereign risk premium
DSGE modeling
JEL: 
E32
E43
F41
Document Type: 
Working Paper

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