Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications

• 成果类型: Article
• 署名作者: Bahaj, Saleem
• 署名单位: Bank of England
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.006
• 发表日期: 2020
• 页码: 116-135
• 关键词: Sovereign risk passthrough; High frequency identification; contagion

摘要

Large movements in sovereign spreads were at the heart of the euro crisis. This paper builds a new high-frequency narrative dataset of country specific events in the crisis period to identify shocks to sovereign spreads that are orthogonal to the economy. It finds that an increase in sovereign spreads has a contractionary macroeconomic impact with transmission running through a deterioration in private financial conditions. Moreover, the market reactions to foreign events explains a meaningful share of the variation in a sovereign's cost of borrowing during the crisis. (C) 2019 Published by Elsevier B.V.