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Euro area sovereign bond risk premia during the Covid-19 pandemic
Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is...
Persistent link: https://www.econbiz.de/10012519519
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Euro area sovereign bond risk premia before and during the Covid-19 pandemic
Corradin, Stefano; Schwaab, Bernd - In: European economic review : EER 153 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014430964
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Banks and sovereign risk : a granular view
Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2015
holdings by banks to eurozone membership and inflation increased significantly since the collapse of Lehman Brothers. Since the …
Persistent link: https://www.econbiz.de/10011334569
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Banks and sovereign risk : a granular view
Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...
Persistent link: https://www.econbiz.de/10009787584
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...
Persistent link: https://www.econbiz.de/10012988612
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The sovereign default problem in the Eurozone : an insurance-based approach
Arnold, Nadjeschda Katharina; Rees, Ray - 2015
This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that …
Persistent link: https://www.econbiz.de/10010533082
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Non-performing loans, cost of capital, and lending supply : lessons from the Eurozone banking crisis
Chiesa, Gabriella; Mansilla-Fernández, José Manuel - 2018
-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …
Persistent link: https://www.econbiz.de/10011913717
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The Impact of Sovereign Debt Ratings on Euro Area Cross-Border Holdings of Euro Area Sovereign Debt
de Haan, Leo - 2019
This paper documents how sovereign debt ratings shape euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in...
Persistent link: https://www.econbiz.de/10012896064
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Liquidity Spillovers in Sovereign Bond and CDS Markets : An Analysis of The Eurozone Sovereign Debt Crisis
Calice, Giovanni - 2017
At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived … sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries …. Empirically, we consider the differential spread on various Eurozone members sovereign bonds over the equivalent German benchmark …
Persistent link: https://www.econbiz.de/10012975864
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Liquidity Spillovers in Sovereign Bond and CDs Markets : An Analysis of the Eurozone Sovereign Debt Crisis
Calice, Giovanni - 2012
At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the market …
Persistent link: https://www.econbiz.de/10013113384