Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy

• 成果类型: Article
• 署名作者: Bottero, Margherita; Lenzu, Simone; Mezzanotti, Filippo
• 署名单位: European Central Bank; Bank of Italy; New York University; Northwestern University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2020.103328
• 发表日期: 2020
• 关键词: banks; credit; financial fragility; Security markets; Sovereign debt; Financial contagion

摘要

In the context of the European crisis, we show that the security portfolio of banks plays an important role in the propagation of financial shocks across countries. Using Italian loan-level data, we show that the shock to the banks' sovereign portfolio caused by the 2010 Greek bailout was passed on to Italian firms through a credit contraction. This was particularly the case for banks with a lower capital and less stable funding. The contraction in credit was similar for both large and small firms, but it only negatively affected the investment and employment decisions of small firms. (C) 2020 Elsevier B.V. All rights reserved.