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Hudecz, Gergely (contributor); Moshammer, Edmund (contributor) - European Stability Mechanism - 2024

Government bond yield futures and related option contracts contain information on the asymmetry of interest rate risks …. We construct probability distributions of marketimplied bond yield expectations up to 90 calendar days ahead between … January 2018 and December 2023. We derive daily distributions for German, French, and Italian bond yields as well as bivariate …

Persistent link: https://www.econbiz.de/10015322363

Euro area sovereign ratings : an analysis of fundamental criteria and subjective judgement; 14/2016

D'Agostino, Antonello (contributor); … - European Stability Mechanism - 2016

This paper studies the sovereign ratings of the current 19 euro area Member States from 2005 to 2015. It disentangles the rating drivers into a 'fundamental' and 'subjective' component using Moody's methodology, and explores which variables explain the 'subjective' component, that is Moody's...

Persistent link: https://www.econbiz.de/10015294171

Ageing and demand for safe assets in the euro area

Blotevogel, Robert (contributor); … - European Stability Mechanism - 2025

Will ageing societies in Europe lead to a new savings glut? To address this potential consequence of demographic change, we assess the relationship between population ageing and safe assets in the euro area, using data from the Eurosystem's Household Finance and Consumption Survey (HFCS). Our...

Persistent link: https://www.econbiz.de/10015322837

European government bond dynamics and stability policies : taming contagion risks; 8/2015

Schwendner, Peter (contributor); Schuele, Martin (contributor) - European Stability Mechanism - 2015

European rescue and stability mechanisms came into force in 2011. EFSF bond issues have been trading as part of the "core" bloc …

Persistent link: https://www.econbiz.de/10015297184

Bank and sovereign risk feedback loops : 1/2015

European Stability Mechanism - 2015

Measures of sovereign and bank risk show occasional bouts of increased correlation, setting the stage for vicious and virtuous feedback loops. This paper models the macroeconomic phenomena underlying such bouts using CDS data for 10 euro area countries. The results show that sovereign risk feeds...

Persistent link: https://www.econbiz.de/10015299454

Dangerous liaisons : debt supply and convenience yield spillovers in the euro area

Arcidiacono, Cristian (contributor); … - European Stability Mechanism - 2024

, benefiting from strong demand for safe assets. The literature shows that this "convenience yield" premium diminishes with bond …

Persistent link: https://www.econbiz.de/10015322344