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Sovereign debt exposure and the bank lending channel: impact on credit supply and the real economy

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  • Margherita Bottero

    () (Bank of Italy)

  • Simone Lenzu

    () (University of Chicago)

  • Filippo Mezzanotti

    () (Harvard University)

Abstract

We study the impact of sovereign market tensions on the real economy through the bank lending channel. Using a large matched bank-firm panel data set that tracks credit relations in Italy over the period 2009-2011, we show that the Greek bailout in the spring of 2010 had a negative impact on the riskiness of government securities held in the portfolio of financial intermediaries, which in turn led to a tightening in credit supply to firms. Firms, especially riskier ones, were unable to smooth out the credit shortage. We estimate that the shock to sovereign bonds led, via the lending channel, to a drop in aggregate bank lending to corporations of almost 2 percent over the subsequent year which translated in a reduction of investment by smaller firms.

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  • Margherita Bottero & Simone Lenzu & Filippo Mezzanotti, 2015. "Sovereign debt exposure and the bank lending channel: impact on credit supply and the real economy," Temi di discussione (Economic working papers) 1032, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_1032_15
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    Keywords

    sovereign debt; bank lending channel; lending supply; real effects; firm investment;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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