Projects per year
Abstract
Did sovereign default risk affect macroeconomic activity through firms' access to credit during the European sovereign debt crisis? We investigate this question by a estimating a structural panel vector autoregressive model for Italy, Spain, Portugal, and Ireland, where the sovereign risk shock is identified using sign restrictions. The results suggest that the decline in the creditworthiness of the sovereign contributed to a fall in private lending and economic activity in several euro-area countries by reducing the value of banks' assets and crowding out private lending. (C) 2020 The Author(s). Published by Elsevier Ltd.
Original language | English |
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Article number | 102257 |
Journal | Journal of International Money and Finance |
Volume | 109 |
Number of pages | 19 |
ISSN | 0261-5606 |
DOIs | |
Publication status | Published - Dec 2020 |
MoE publication type | A1 Journal article-refereed |
Fields of Science
- 512 Business and Management
- econ.GN
- q-fin.EC
- Credit supply
- DEBT CRISIS
- MONETARY-POLICY
- RESTRICTIONS
- SHOCKS
- SIGN
- SPREADS
- STRUCTURAL VECTOR AUTOREGRESSIONS
- Sovereign debt crisis
- Structural vector autoregression
- 511 Economics
Projects
- 1 Finished
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Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series
Lanne, M., Saikkonen, P., Meitz, M., Luoto, J., Funovits, B. & Palmén, O.
01/09/2017 → 31/08/2021
Project: Research project