Investigating the Impact of Sovereign Interest Rates on Corporate Borrowing Costs in the Euro Area

摘要: We analyze how public finances, through sovereign interest rates, impact corporate borrowing costs in the Euro Area. Theoretically, an increase rates can have on banks three main channels: i) risk free rate (price channel) ii) a decrease value of collateral held by banks, which leads to their refinancing (liquidity iii) mark-to-market banks’ portfolio that reduces solvency and as such may affect volumes and/or credits (balance sheet channel).In this paper we estimate Area individual countries. Due importance banking credit financing non-financial corporations (NFC) Area, rely mainly bank lending address issue, using monthly data new existing loans over period January 2003-July 2010. Our results suggest domestic no significant effects NFC price channel. The risk-free for seems more likely be swap rate. As existence unified market reducing link between alleviate pressure bond sector stemming from issues. On other hand, liquidity channel explain part evolution especially Peripheral For bonds, compute indexes six European countries find evidence operating either euro or yields. This effect accounted fact asset prices, prices are affected markets developments.