Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180375
Authors: 
Wolski, Marcin
Year of Publication: 
2018
Series/Report no.: 
EIB Working Papers 2018/05
Abstract: 
We assess the impact of the sovereign risk spill-overs onto corporate cost of borrowing in selected euro area countries. We utilize a novel nonparametric dependence filtering frame- work to remove the effects of sovereign risk in the interest rate pass-through context. The main findings confirm the heterogeneity in sovereign risk spill-overs. We also find divergence in sovereign risk transmission between core and peripheral Member States during financial and sovereign debt crises. We discover that the standard linear models may underestimate the underlying pass-through distortions, suggesting the existence of nonlinear sovereign risk effects.
Subjects: 
counterfactual distributions
nonparametric methods
sovereign risk
cost of borrowing
pass-through
JEL: 
C14
E43
E52
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-861-3755-6
Document Type: 
Working Paper

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