Credit Risk in the Euro Area

• 成果类型: Article
• 署名作者: Gilchrist, Simon; Mojon, Benoit
• 署名单位: Boston University; National Bureau of Economic Research; European Central Bank; Bank of France; Institut Polytechnique de Paris; Ecole Polytechnique
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12427
• 发表日期: 2018
• 页码: 118-158
• 关键词: economic-activity; business-cycle; spreads; income

摘要

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.