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ISEG 2S | Sovereign and corporate credit risk: Spillover effects in the Eurozone

15 Nov from 14:00 to 14:01
Quelhas 6 | Floor 3 | Delta Room


Paolo Colla

Bocconi University


Sovereign and corporate credit risk: Spillover effects in the Eurozone


We provide empirical evidence for the spillover of credit risk from the sovereign to the non-financial corporate segment using credit default swap (CDS) data for Eurozone entities during the recent turmoil in European debt markets. We show that an increase in sovereign risk is associated with an increase in the credit risk (and, hence, borrowing costs) of non-financial

firms. We also show that a deterioration in a country’s credit quality affects more adversely firms that are government controlled, those whose sales are more concentrated in the domestic market, and those that rely more heavily on bank financing. Our findings suggest that government guarantees, domestic demand, and credit markets are important credit risk

transmission mechanisms.

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This seminars series is organized by
Joana Pais (ECO),
Raquel M. Gaspar (FIN/MG) and
Isabel Proença (QM).


All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.


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Filomena Ferreira.


If you come to the seminars at ISEG by car, please contact
Filomena Ferreira to assure your entrance into the park.