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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

Domestic Banks as Lightning Rods? Home Bias and Information During the Eurozone Crisis

Saka, Orkun - 2019

European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis … covering the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign …

Persistent link: https://www.econbiz.de/10012859050

Public Finances Solvency in the Euro Area : True or False?

Afonso, António; Coelho, José Carlos - 2022

We assess public finances solvency for Euro Area countries using quarterly data between 1999Q1 and 2020Q4. Through a country-by-country analysis, the answer to the title question is true. For most countries, (i) the primary budget balance reacts positively to the lagged public debt ratio and...

Persistent link: https://www.econbiz.de/10014076999

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10014243102

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10013211119

Euro Area House Prices and Unconventional Monetary Policy Surprises

Hülsewig, Oliver; Rottmann, Horst - 2021

This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. Using Jordà’s (2005) local projection method, we find that real house prices rise in response to expansionary monetary policy shocks that can be related...

Persistent link: https://www.econbiz.de/10013229702

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012838235

The Financial Accelerator in the Euro Area : New Evidence Using a Mixture VAR Model

Bennani, Hamza; Neuenkirch, Matthias - 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...

Persistent link: https://www.econbiz.de/10013314851

The Political Economy of the G20 Agenda on Financial Regulation

Schuknecht, Ludger - 2020

The paper empirically examines the implementation record of international financial regulation of the banking sector. The study finds that the size of the banking sector and the presence of global systemically important banks (G-SIBs) are positively associated with a stronger implementation...

Persistent link: https://www.econbiz.de/10012824593

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