Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154311
Authors: 
Augustin, Patrick
Boustanifar, Hamid
Breckenfelder, Johannes
Schnitzler, Jan
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper No. 1878
Abstract: 
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.
Subjects: 
bailout
contagion
credit risk
Greece
risk transmission
JEL: 
F34
F36
G15
H81
G12
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1691-2
Document Type: 
Working Paper

Files in This Item:
File
Size
453.11 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.