Showing 1 - 10 of 1,204
In the paper we investigate the empirical features of euro area money market turbulence during the recent financial …
Persistent link: https://www.econbiz.de/10013106591
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …
Persistent link: https://www.econbiz.de/10012963728
This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric …
Persistent link: https://www.econbiz.de/10012963900
We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth …
Persistent link: https://www.econbiz.de/10012963924
the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on …
Persistent link: https://www.econbiz.de/10012954345
the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …
Persistent link: https://www.econbiz.de/10012988612
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …
Persistent link: https://www.econbiz.de/10013225750
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare …
Persistent link: https://www.econbiz.de/10013135678
framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …
Persistent link: https://www.econbiz.de/10013081460
We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …
Persistent link: https://www.econbiz.de/10013052936