| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23314 |
| 来源ID | Working Paper 23314 |
| Sovereign Default Risk and Firm Heterogeneity | |
| Cristina Arellano; Yan Bai; Luigi Bocola | |
| 发表日期 | 2017-04-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper measures the output costs of sovereign risk by combining a sovereign debt model with firm- and bank-level data. In our framework, an increase in sovereign risk lowers the price of government debt and has an adverse impact on banks’ balance sheets, disrupting banks’ ability to finance firms. Importantly, firms are not equally affected by these developments: those that have greater financing needs and borrow from banks that are more exposed to government debt cut their production the most in a debt crisis. We use Italian data to measure these firm-level elasticities and use them as empirical targets for estimating the structural model. In a counterfactual analysis, we find that heightened sovereign risk was responsible for one-third of the observed output decline during the Italian debt crisis. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23314 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580988 |
| 推荐引用方式 GB/T 7714 | Cristina Arellano,Yan Bai,Luigi Bocola. Sovereign Default Risk and Firm Heterogeneity. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23314.pdf（2500KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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