Sovereign default risk and credit supply: Evidence from the euro area
利用结构面板向量自回归模型，研究欧洲主权债务危机期间主权违约风险如何通过银行资产价值下降和挤出私人贷款，影响企业信贷获取和宏观经济活动。
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.