主权违约风险与信贷供给：来自欧元区的证据
Sovereign Default Risk and Credit Supply: Evidence from the Euro Area
摘要：
在欧洲主权债务危机期间，主权违约风险是否通过企业获得信贷影响了宏观经济活动？我们调查这个问题，估计一个结构面板向量自回归模型，意大利，西班牙，葡萄牙和爱尔兰，其中的主权风险冲击，确定使用符号限制。结果表明，主权信用的下降导致了一些欧元区国家的私人贷款和经济活动的下降，降低了银行资产的价值，挤出了私人贷款。
英文摘要：
Did sovereign default risk affect macroeconomic activity through firms' access to credit during the European sovereign debt crisis? We investigate this question by a estimating a structural panel vector autoregressive model for Italy, Spain, Portugal, and Ireland, where the sovereign risk shock is identified using sign restrictions. The results suggest that decline in the creditworthiness of the sovereign contributed to a fall in private lending and economic activity in several euro-area countries by reducing the value of banks' assets and crowding out private lending.
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