목차
Title page
Contents
Abstract 2
Non-technical summary 3
1. Introduction 5
2. Related literature 7
3. Modelling the dynamics of credit risk 8
4. Data 9
4.1. Probabilities of default 9
4.2. Demand and supply shocks 11
4.3. Monetary policy shocks 11
4.4. Macro and financial controls 12
5. Results 13
5.1. The response of credit risk at the euro area level 13
5.2. Exploring firms' heterogeneity 16
6. Conclusion 23
References 25
Appendix 27
Acknowledgements 35
Table 1. Country coverage by firms' size and PD distribution 10
Table 2. Shocks 11
Table 3. Descriptive statistics for the control variables 13
Table 4/Table 3. Firm level IRFs 21
Figure 1. Probability of default of euro area firms 10
Figure 2. Monetary policy shocks 12
Figure 3. Response of PDs to demand and supply shocks 14
Figure 4. Response of PDs to monetary policy shocks 16
Figure 5. Response of PDs to shocks by firm size 18
Figure 6/Figure 7. Response of firms' PDs by sectors to selected shocks 19
Figure 7/Figure 8. The role of leverage and cash holdings 22
Figure 8/Figure 9. The role of leverage in the response of firms' PDs to shocks 23
Table A.1. Share of persons employed by firms' size class 27
Table A.2. Mapping of NACE codes into eight sectors 27
Table A.3. The role of firm characteristics: age 31
Table A.4. The role of firm characteristics: leverage 32
Table A.5. The role of firm characteristics: interest expenses to EBITDA 33
Table A.6. The role of firm characteristics: leverage and cash holdings 34
Figure A.1. Macroeconomic shocks 28
Figure A.2. IRF by sectoral aggregates 29
