Credit Risk in the Euro Area
构建了欧元区银行和非金融企业的信用风险指标，发现2008年金融危机大幅提高了两者的市场融资成本，而2000年互联网泡沫破裂后的衰退只影响了非金融企业。信用利差对欧元区整体及各国的实际活动和贷款有预测作用。
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.