| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w20041
|
| 来源ID | Working Paper 20041
|
| Credit Risk in the Euro Area |
| Simon Gilchrist; Benoît Mojon
|
| 发表日期 | 2014-04-10
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the country level for Germany, France, Italy and Spain. These indicators reveal that the financial crisis of 2008 has dramatically increased the cost of market funding for both banks and non-financial firms. In contrast, the prior recession following the 2000 U.S. 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. This divergence in cross-country credit risk increased further as the European debt crisis has unfolded since 2010. Since that time, credit spreads for both non-financial and financial firms increasingly reflect national rather than euro area financial conditions. Consistent with this view, credit spreads provide substantial predictive content for a variety of real activity and lending measures for the euro area as a whole and for individual countries. VAR analysis implies that disruptions in corporate credit markets lead to sizable contractions in output, increases in unemployment, and declines in inflation across the euro area. |
| 主题 | Macroeconomics
; Business Cycles
; Money and Interest Rates
; Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w20041
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577715
|
推荐引用方式
GB/T 7714 |
Simon Gilchrist,Benoît Mojon. Credit Risk in the Euro Area. 2014.
|
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