The Pass-Through of Sovereign Risk
Bibliographic Data
| ID | 10183237 |
|---|---|
| Authors | Luigi Bocola (National Bureau of Economic Research, corresponding author) |
| Year | 2016 |
| Volume | 124 |
| Issue | 4 |
| Pages | 879-926 |
| Publication date | 2016-07-07 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/686734 |
| OpenAlex | W2460130136 |
| Language | EN |
| Citations received | 11 |
| References cited | 28 |
This paper examines the macroeconomic implications of sovereign risk in a model in which banks hold domestic government debt. News of a future sovereign default hampers financial intermediation. First, it tightens the funding constraints of banks, reducing their resources to finance firms (liquidity channel). Second, it generates a precautionary motive to deleverage (risk channel). I estimate the model using Italian data, finding that sovereign risk was recessionary and that the risk channel was sizable. I also use the model to measure the effects of subsidized long-term loans to banks. Precautionary motives at the height of the crisis imply that bank lending to firms responds little to these interventions
Business · Credit risk · Debt · Economics · Financial intermediary · Financial system · Intermediation · Market liquidity · Monetary economics · Sovereign debt · Sovereign default · Sovereignty · Subsidy · Banking stability, regulation, efficiency · Finance · Global Financial Crisis and Policies · Italy: Economic History and Contemporary Issues
Sovereign Default, Domestic Banks and Exclusion from International Capital Markets
Unintended Consequences of Central Bank Lending in Financial Crises
Economic sanctions and sovereign debt default
Country banks and the Panic of 1825
Sovereigns at risk
Does Uncertainty Affect the Banks’ Non-Performing Loans/Non-Performing Finance in the Mena Region? A Comparison Study Between Conventional and Islamic Banks in the Mena Regions
On the Optimality of Financial Repression
Fiscal Stimulus under Sovereign Risk
An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone
Risk-Sharing Externalities
A robust examination of Covid-19 and country risk
Rare Disasters and Asset Markets in the Twentieth Century
Common risk factors in the returns on stocks and bonds
Debt with Potential Repudiation
A model of unconventional monetary policy
From Financial Crash to Debt Crisis
Sovereigns at risk
How Sovereign Is Sovereign Credit Risk
The elusive costs of sovereign defaults
The High Sensitivity of Economic Activity to Financial Frictions
Sovereign Risk, Fiscal Policy, and Macroeconomic Stability
A General Equilibrium Model of Sovereign Default and Business Cycles
Default Risk and Income Fluctuations in Emerging Economies
| Unique citing works | 11 |
|---|---|
| Citations per year | 1,22 |
| Citation span | 2017 - 2026 (10) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 11 |