The DOI matches its Crossref record; 54 of the 54 references it cites were found in a registry or an index.
The Pass-Through of Sovereign Risk
Open accessAbstract
This paper examines the macroeconomic implications of sovereign risk in a model in which banks hold domestic government debt. News of a future sovereign default hampers financial intermediation. First, it tightens the funding constraints of banks, reducing their resources to finance firms (liquidity channel). Second, it generates a precautionary motive to deleverage (risk channel). I estimate the model using Italian data, finding that sovereign risk was recessionary and that the risk channel was sizable. I also use the model to measure the effects of subsidized long-term loans to banks. Precautionary motives at the height of the crisis imply that bank lending to firms responds little to these interventions.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Debt with Potential Repudiation: Theoretical and Empirical Analysis
Eaton, J., & Gersovitz, M. (1981) · The Review of Economic Studies · doi:10.2307/2296886 · Cited by 2,603
Filtering via Simulation: Auxiliary Particle Filters
Pitt, M. K., & Shephard, N. (1999) · Journal of the American Statistical Association · doi:10.1080/01621459.1999.10474153 · Cited by 2,438
A model of unconventional monetary policy
Gertler, M., & Karadi, P. (2011) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2010.10.004 · Cited by 2,393
Rare Disasters and Asset Markets in the Twentieth Century*
Barro, R. J. (2006) · Quarterly Journal of Economics · doi:10.1162/qjec.121.3.823 · Cited by 2,316
The Impact of Uncertainty Shocks
Bloom, N. (2007) · National Bureau of Economic Research · doi:10.3386/w13385 · Cited by 2,111
Financial Intermediation and Credit Policy in Business Cycle Analysis
Gertler, M., & Kiyotaki, N. (2010) · Handbook of Monetary Economics · doi:10.1016/b978-0-444-53238-1.00011-9 · Cited by 1,966
On the Estimation of Beta-Pricing Models
Shanken, J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.1.1 · Cited by 1,601
From Financial Crash to Debt Crisis
Reinhart, C. M., & Rogoff, K. S. (2011) · American Economic Review · doi:10.1257/aer.101.5.1676 · Cited by 1,556
Business cycles in emerging economies: the role of interest rates
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Metadata
- Authors
- Bocola, L.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2016-08
- Volume
- 124
- Issue
- 4
- Pages
- 879-926
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2460130136
- Cited by
- 386
- References
- 54
- FWCI
- 79.29
- Type
- journal article
- Language
- en
- Open access
- gold
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- Bocola, L. (2016). The Pass-Through of Sovereign Risk. Journal of Political Economy. https://doi.org/10.1086/686734
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
