ECB paper quantifies spillover from sovereign to corporate credit risk
Research studies direct spillover effects in the aftermath of the first Greek bailout
A working paper published by the European Central Bank provides empirical evidence that a sudden increase in sovereign risk can "induce risk spillovers" into domestic corporations
In Sovereign to corporate risk spillovers, Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler consider the announcement of the first Greek bail-out in April 2010, which "led to a significant increase of sovereign risk of all European countries".
The authors seek to quantify the direct
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