Journal of the European Economic Association · 2026 · Cristina Arellano、Yan Bai、Luigi Bocola
中文摘要
本文将主权债务模型与企业层面及银行层面数据相结合，衡量主权风险的产出成本。主权风险上升会压低政府债务价格，并对银行资产负债表产生不利冲击，破坏银行为企业提供融资的能力。由此导致的信贷供给下降，一方面直接影响企业，因为它们需要以更高的利率借款，另一方面则通过对投入品及其他商品价格的一般均衡效应间接影响企业。重要的是，企业受这些变化的影响并不相同：融资需求较大、且从持有更多政府债务的银行借款的企业，受借款利率变化的影响最大，而不借款的企业仅受到间接影响。我们表明，这些直接效应和间接效应可以通过一个企业层面的回归加以识别，我们使用意大利数据对该回归进行估计。我们校准模型以匹配所测得的企业层面弹性，并发现主权风险上升应对意大利债务危机期间所观察到的产出下降承担三分之一的责任。
Abstract
Abstract This paper measures the output costs of sovereign risk by combining a sovereign debt model with firm- and bank-level data. An increase in sovereign risk lowers the price of government debt and has an adverse impact on banks’ balance sheets, disrupting their ability to finance firms. The resulting fall in credit supply impacts firms directly, as they need to borrow at higher interest rates, and indirectly through general equilibrium effects on the price of inputs and other goods. Importantly, firms are not equally affected by these developments: Those that have greater financing needs and that borrow from banks that hold more government debt are mostly affected by the change in borrowing rates, while firms that do not borrow are only impacted indirectly. We show that these direct and indirect effects can be recovered using a firm-level regression, which we estimate using Italian data. We calibrate our model to match the measured firm-level elasticities and find that heightened sovereign risk was responsible for one-third of the observed output decline during the Italian debt crisis.