Sovereign to Corporate Risk Spillovers

58 Pages Posted: 18 Jan 2016

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

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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 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 ( 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

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

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