Sovereign to Corporate Risk Spillovers
利用2010年希腊首次救助事件，研究发现主权信用风险上升10%会导致企业信用风险平均上升1.1%，且通过金融和财政渠道传导，对依赖银行或政府的企业影响更大。
Abstract The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the transmission of sovereign to corporate credit risk. A 10% increase in sovereign credit risk raises corporate credit risk on average by 1.1% after the bailout. The evidence is suggestive of risk spillovers from sovereign to corporate credit risk through a financial and a fiscal channel, as the effects are more pronounced for firms that are bank or government dependent. We find no support for indirect risk transmission through a deterioration of macroeconomic fundamentals.