Sovereign to Corporate Risk Spillovers

58 Pages Posted: 18 Jan 2016  

Patrick Augustin

McGill University, Desautels Faculty of Management

Hamid Boustanifar

EDHEC Business School; BI Norwegian Business School

Johannes H. Breckenfelder

European Central Bank (ECB) - Financial Research

Jan Schnitzler

VU University Amsterdam - Faculty of Economics and Business Administration; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Multiple version iconThere are 2 versions of this paper

Date Written: January 18, 2016

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.

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 H. and Schnitzler, Jan, Sovereign to Corporate Risk Spillovers (January 18, 2016). ECB Working Paper No. 1878. Available at SSRN: https://ssrn.com/abstract=2717352

Patrick Augustin (Contact Author)

McGill University, Desautels Faculty of Management ( email )

1001 Sherbrooke Street West
Quebec
Montreal, Quebec H3A 1G5
Canada

HOME PAGE: http://www.patrickaugustin.se

Hamid Boustanifar

EDHEC Business School ( email )

393 Promenade des Anglais – BP 3116
Nice, 06202
France

BI Norwegian Business School ( email )

Oslo
Norway

Johannes H. Breckenfelder

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

Sonnemannstrasse 20
D-60314 Frankfurt am Main
Germany

HOME PAGE: http://johannesbreckenfelder.eu/

Jan Schnitzler

VU University Amsterdam - Faculty of Economics and Business Administration ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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