The Pass-Through of Sovereign Risk
研究了主权风险如何通过银行持有政府债务影响宏观经济，发现主权风险会通过流动性渠道和风险渠道抑制银行放贷，并基于意大利数据估计了其衰退效应。
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.