Riesgo soberano y política monetariaefectos sobre los préstamos bancarios y el crédito comercial

Abstract

The purpose of this thesis is to analyze the influence of sovereign risk on the credit channel of monetary policy from a double perspective. The first part examines how sovereign risk determines the effects of monetary policy on bank loans during monetary restrictions and expansions. The second part studies the impact of sovereign risk on trade credit, both directly and through the monetary policy. In the first part, the results show that banks which operate in higher sovereign risk countries reduce their credit supply more during monetary contractions, while there is not enough evidence that they increase their loan supply less during monetary expansions. Additionally, when sovereign risk is very high banks reduce their lending, regardless of the monetary regime. In the second part, the results indicate that during the crisis trade credit supplied and net trade credit (the difference between trade credits supplied and received) decline as sovereign risk rises. However, during the crisis trade credit received increases with the level of the sovereign risk, but only when it is low and moderate. On the contrary, trade credit received reduces as sovereign risk increases when it is high. Additionally, a restrictive monetary policy only leads to an increase in trade credit in countries with relatively low sovereign risk.