摘要：This box sheds light on how the structure of cross-sectoral credit risk transmission has evolved since the start of the pandemic. It does so by using high-frequency, firm-level data on expected default frequencies to estimate the direction and intensity of credit risk spillovers between the sovereign, bank, non-bank financial and corporate sectors. It shows that the credit risk interdependency of euro area financials and corporates with sovereigns has increased markedly in the wake of the pandemic strengthening the sovereign-bank-corporate nexus. It finds that risk transmission from the corporate sector to sovereigns increased substantially and remained elevated between March and October 2020. It also shows that risk transmission from sovereigns to other sectors spiked immediately after the pandemic but was relatively more contained and short-lived thanks to the ECB policy action.
