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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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The political economy of euro area sovereign debt restructuring
Heinemann, Friedrich - 2021
support an EMU constitution that includes an insolvency procedure whereas a coalition of high-debt countries and European …
Persistent link: https://www.econbiz.de/10012421950
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The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?
Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016
Greece. Hence, we argue that the inclusion of the IMF in Europe’s crisis fighting did not completely deliver what had been …
Persistent link: https://www.econbiz.de/10011548057
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The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...
Persistent link: https://www.econbiz.de/10012222608
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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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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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The fire-sale channels of universal banks in the European sovereign debt crisis
Bagattini, Giulio; Fecht, Falko; Weber, Patrick - 2019
We use a unique security-level data set to analyze correlations in bond trading of banks, their respective retail customers and their affiliated mutual funds. Matching banks' proprietary holdings with the holdings of their funds and their retail customers for the period 2009-2016 at the security...
Persistent link: https://www.econbiz.de/10012125233
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
-parametric model imply persistent behavior in the volatility of changes for Greece, Portugal, Ireland, Italy, Spain, and Belgium … sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk …
Persistent link: https://www.econbiz.de/10009731982
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Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...
Persistent link: https://www.econbiz.de/10010415789
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The sovereign-bank diabolic loop and ESBies
Brunnermeier, Markus Konrad; Garicano, Luis; Lane, Philip R. - 2016
Persistent link: https://www.econbiz.de/10011475037