Credit Risk in the Euro Area

41 Pages Posted: 8 Feb 2018

See all articles by Simon Gilchrist

Simon Gilchrist

Boston University - Department of Economics; National Bureau of Economic Research (NBER)

Benoît Mojon

Bank for International Settlements (BIS)

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Date Written: February 2018


We construct credit risk indicators for euro area banks and non‐financial corporations. These indicators reveal that the financial crisis of 2008 dramatically increased the cost of market funding for both banks and non‐financial firms. In contrast, the prior recession following the 2000 US dot‐com bust led to widening credit spreads of non‐financial firms but had no effect on the credit spreads of financial firms. The 2008 financial crisis also led to a systematic divergence in credit spreads for financial firms across national boundaries. Credit spreads provide substantial predictive content for real activity and lending measures for the euro area as a whole and for individual countries.

Suggested Citation

Gilchrist, Simon and Mojon, Benoît, Credit Risk in the Euro Area (February 2018). The Economic Journal, Vol. 128, Issue 608, pp. 118-158, 2018, Available at SSRN: or

Simon Gilchrist (Contact Author)

Boston University - Department of Economics ( email )

270 Bay State Road
Boston, MA 02215
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Benoît Mojon

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002

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