Sovereign Default Risk and Credit Supply : Evidence from the Euro Area

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http://hdl.handle.net/10138/326249

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Palmen , O 2020 , ' Sovereign Default Risk and Credit Supply : Evidence from the Euro Area ' , Journal of International Money and Finance , vol. 109 , 102257 . https://doi.org/10.1016/j.jimonfin.2020.102257

Title: Sovereign Default Risk and Credit Supply : Evidence from the Euro Area
Author: Palmen, Olli
Contributor organization: Financial and Macroeconometrics
Doctoral Programme in Economics
Date: 2020-12
Language: eng
Number of pages: 19
Belongs to series: Journal of International Money and Finance
ISSN: 0261-5606
DOI: https://doi.org/10.1016/j.jimonfin.2020.102257
URI: http://hdl.handle.net/10138/326249
Abstract: Did sovereign default risk affect macroeconomic activity through firms' access to credit during the European sovereign debt crisis? We investigate this question by a estimating a structural panel vector autoregressive model for Italy, Spain, Portugal, and Ireland, where the sovereign risk shock is identified using sign restrictions. The results suggest that the decline in the creditworthiness of the sovereign contributed to a fall in private lending and economic activity in several euro-area countries by reducing the value of banks' assets and crowding out private lending. (C) 2020 The Author(s). Published by Elsevier Ltd.
Subject: 512 Business and Management
econ.GN
q-fin.EC
Credit supply
DEBT CRISIS
MONETARY-POLICY
RESTRICTIONS
SHOCKS
SIGN
SPREADS
STRUCTURAL VECTOR AUTOREGRESSIONS
Sovereign debt crisis
Structural vector autoregression
511 Economics
Peer reviewed: Yes
Rights: cc_by
Usage restriction: openAccess
Self-archived version: publishedVersion


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