Credit Risk in the Euro Area

Datos Bibliográficos

ID9720701
AutoresSimon Gilchrist (Boston University and NBER), Benoit Mojon (Banque de France and Ecole Polytechnique), Benoı̂t Mojon (Banque de France)
Año2018
Volumen128
Número608
Páginas118-158
Fecha de publicación2018-02-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12427
OpenAlexW3124918635
IdiomaEN
Citas recibidas5
Referencias citadas22

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

Bond market · Business · Credit crunch · Credit risk · Economics · Financial crisis · Financial system · Recession · Banking stability, regulation, efficiency · Credit Risk and Financial Regulations · Finance · Global Financial Crisis and Policies