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Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2021

Persistent link: https://www.econbiz.de/10012667120

Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis

Aizenman, Joshua - 2013

This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...

Persistent link: https://www.econbiz.de/10013080412

Italy in the Eurozone

Keuschnigg, Christian; Kirschner, Linda; Kogler, Michael; … - 2020

Persistent link: https://www.econbiz.de/10012249889

Contagion in the European Sovereign Debt Crisis

Glover, Brent - 2014

We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...

Persistent link: https://www.econbiz.de/10013045650

Greek retrofit and borrowing costs in the european periphery

Bolton, Patrick; Gulati, Mitu; Fu, Xuewen; Panizza, Ugo - 2023

Persistent link: https://www.econbiz.de/10014335015

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

Acharya, Viral V. - 2011

We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy …-financial sector to fund the bailout may be inefficient since it weakens its incentive to invest, decreasing growth. Instead, the … sovereign may choose to fund the bailout by diluting existing government bondholders, resulting in a deterioration of the …

Persistent link: https://www.econbiz.de/10013123694

Self-inflicted debt crises

Dimopoulos, Theodosios Sakis; Schürhoff, Norman - 2021

Persistent link: https://www.econbiz.de/10012436611

Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts

Delatte, Anne-Laure - 2014

Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...

Persistent link: https://www.econbiz.de/10013056598

External and Public Debt Crises

Arellano, Cristina - 2015

The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...

Persistent link: https://www.econbiz.de/10013017501

Improving sovereign debt restructurings

Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2022

Persistent link: https://www.econbiz.de/10013184866

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