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Collective Memories on the 2010 European Debt Crisis

Arnemann, Laura; Konrad, Kai A.; Potrafke, Niklas - 2021

We examine whether collective memories on the aid&reform programs chosen to handle the 2010 European debt crisis differ between citizens from borrower and lender countries. We use new international survey data for non-experts and experts in member countries of the euro area. The results show...

Persistent link: https://www.econbiz.de/10013250727

Central Bank Policies and Financial Markets : Lessons from the Euro Crisis

Mody, Ashoka - 2019

The European Central Bank (ECB) took many measures to combat the eurozone’s rolling financial crisis. For providing … desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we … October 2009 and September 2012, the most intense phase of the eurozone crisis. Dollar liquidity clearly reduced stress in …

Persistent link: https://www.econbiz.de/10012892183

The Euro Crisis and Economic Growth : A Novel Counterfactual Approach

Terzi, Alessio - 2019

warranted. To make this claim, this paper uses a Propensity Score Matching Model to produce counterfactuals for the Eurozone … more in the Eurozone periphery than in the standard counterfactual scenario. These results are not dictated by any specific … Eurozone's specificity, which is instead to be traced back to a sharper-than-expected contraction in investment and fiscal …

Persistent link: https://www.econbiz.de/10012866042

Italy in the Eurozone

Keuschnigg, Christian; Kirschner, Linda; Kogler, Michael; … - 2021

benign exit from the Eurozone with stable investor expectations could substantially dampen the short-run impact …

Persistent link: https://www.econbiz.de/10013315307

The Term Structure of Interest Rates in a Heterogeneous Monetary Union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...

Persistent link: https://www.econbiz.de/10014080055

57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

Wolfinger, Julia - 2019

news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …

Persistent link: https://www.econbiz.de/10012892159

Interest Rate Linkages in EMU Countries : A Rolling Threshold Vector Error-Correction Approach

Poghosyan, Tigran; Haan, Jakob de - 2021

This paper revisits financial market integration in the European Economic and Monetary Union, using a threshold vector error-correction model (TVECM) for a fixed rolling window. This approach enables us to analyze the dynamics of transaction costs and detect any co-movements with (policy...

Persistent link: https://www.econbiz.de/10013316906

Financial contagion and the European debt crisis

Missio, Sebastian; Watzka, Sebastian - 2011

Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...

Persistent link: https://www.econbiz.de/10010277409

Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios

R. Mahadeo, Scott M. - 2020

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012843432

Energy Contagion in the COVID-19 Crisis

Heinlein, Reinhold - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012831660