Sovereign to Corporate Risk Spillovers

Journal of Money, Credit and Banking, Vol. 50 (5), 857-891

61 Pages Posted: 2 Jul 2012 Last revised: 25 Apr 2019

See all articles by Patrick Augustin

Patrick Augustin

McGill University

Hamid Boustanifar

EDHEC Business School; BI Norwegian Business School

Johannes Breckenfelder

European Central Bank (ECB) - Financial Research

Jan Schnitzler

Grenoble Ecole de Management

Multiple version iconThere are 2 versions of this paper

Date Written: September 19, 2017

Abstract

The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the transmission of sovereign to corporate credit risk. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. The evidence is suggestive of risk spillovers from sovereign to corporate credit risk through a financial and a fiscal channel, as the effects are more pronounced for firms that are bank or government dependent. We find no support for indirect risk transmission through a deterioration of macroeconomic fundamentals.

Keywords: bailout, contagion, credit risk, Greece, risk transmission

JEL Classification: F34; F36; G15; H81; G12

Suggested Citation

Augustin, Patrick and Boustanifar, Hamid and Breckenfelder, Johannes and Schnitzler, Jan, Sovereign to Corporate Risk Spillovers (September 19, 2017). Journal of Money, Credit and Banking, Vol. 50 (5), 857-891, Available at SSRN: https://ssrn.com/abstract=2097391 or http://dx.doi.org/10.2139/ssrn.2097391

Patrick Augustin

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada

HOME PAGE: http://https://patrickaugustin.ca/

Hamid Boustanifar

EDHEC Business School ( email )

393 Promenade des Anglais – BP 3116
Nice, 06202
France

BI Norwegian Business School ( email )

Oslo
Norway

Johannes Breckenfelder (Contact Author)

European Central Bank (ECB) - Financial Research ( email )

Sonnemannstrasse 20
D-60314 Frankfurt am Main
Germany

HOME PAGE: http://johannesbreckenfelder.eu/

Jan Schnitzler

Grenoble Ecole de Management ( email )

12 Rue Pierre Semard
Grenoble, Cedex 01 38000
France

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
475
Abstract Views
3,816
rank
57,776
PlumX Metrics