www.suerf.org/publications/ SUERF Policy Brief, No 874 1 The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector Introduction The pandemic of 2020, the energy price spikes in 2022 and monetary policy tightening reignited attention on the consequences of economy-wide shocks for the solvency of non-financial firms. [...] www.suerf.org/publications/ SUERF Policy Brief, No 874 2 The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector The response of credit risk at the euro area level The transmission of macroeconomic shocks to euro area corporate credit risk is heterogeneous between shocks (Figure 1). [...] www.suerf.org/publications/ SUERF Policy Brief, No 874 3 The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector Impact on credit risk by firms’ size and sector In this section, we examine the role of heterogeneity by estimating the dynamic reaction of firms’ PDs according to firm’s size and economic sector. [...] www.suerf.org/publications/ SUERF Policy Brief, No 874 5 The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector Figure 4 reports the response of PDs at the sectoral level to supply and monetary policy shocks (for the OIS 2- year rate). [...] www.suerf.org/publications/ SUERF Policy Brief, No 874 8 The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector About the authors Marco Lo Duca is Adviser at the Macroprudential Policy Division in the Directorate General Macroprudential Policy and Financial Stability of the European Central Bank (ECB).
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