论文标题
主权违约风险和信用供应：欧元区的证据
Sovereign Default Risk and Credit Supply: Evidence from the Euro Area
论文作者
论文摘要
主权违约风险是否通过欧洲主权债务危机期间公司获得信贷的访问会影响宏观经济活动吗？我们通过估计意大利，西班牙，葡萄牙和爱尔兰的结构面板向量自回归模型来调查这个问题，在该模型中，使用符号限制确定了主权风险冲击。结果表明，君主信誉的下降通过降低银行资产的价值并挤出私人贷款，导致了几个欧洲地区的私人贷款和经济活动下降。
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 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.
