The contribution of Fabien Verger at an earlier stage of the project, in particular for assembling the database, is gratefully acknowledged. Many thanks to Emmanuel Duguet, Haibin Zhu and an anonymous referee, for useful comments on a previous version. All errors remain those of the authors. The opinions expressed are not necessarily those of the Banque de France. Abstract The article contributes to the literature on ...nancial fragility, studying how macroeconomic shocks a¤ect supply and

more »

... in the corporate debt market. We take into account the e¤ect of the competitive environment, as well as the risk level, measured by companies'default rate. The model is estimated using data from the Harmonised BACH database of corporate accounts for large euro area countries on the 1993-2005 period, in order to carry out an illustrative stress testing exercise. We measure the impact of large macroeconomic shocks (a severe recession and a sharp increase in oil prices) on the equilibrium in the debt market. 4 du PIB de 0,15%. Cela conduit à une légère hausse du taux de défaillance, mais la cause principale de la baisse de la valeur réelle de dette (de 0.2 à 3.2%) est la hausse du taux d'intérêt à court terme par la Banque Centrale. Il contribue aussi largement à la hausse des charges d'intérêt de la dette de 50 à 75 points de base.