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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Camba-Méndez, Gonzalo - 2014

the market perception of sovereign credit risk, whereas financial contagion appears to have exerted a non …

Persistent link: https://www.econbiz.de/10013052936

Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015

Vergote, Olivier - 2016

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials' true credit risk and sovereign credit risk is avoided 1) by controlling for common … contagion and feedback. The institutions identified as most central to the network during those episodes are known to have …

Persistent link: https://www.econbiz.de/10012992428

Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

Garcia de Andoain, Carlos; Kremer, Manfred - 2021

In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...

Persistent link: https://www.econbiz.de/10013315399

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Méndez, Gonzalo - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10012987488

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Méndez, Gonzalo - 2016

Persistent link: https://www.econbiz.de/10012987870

Macro-Networks : An Application to the Euro Area Financial Accounts

Castrén, Olli - 2013

analysis suggests that the risk of contagion is not reduced, while a more diversified portfolio of cross-border exposures might …

Persistent link: https://www.econbiz.de/10013087568

Quantifying Financial Stability Trade-Offs for Monetary Policy : A Quantile VAR Approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014352841

The pricing of sovereign risk and contagion during the European sovereign debt crisis

Beirne, John; Fratzscher, Marcel - 2013

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

Persistent link: https://www.econbiz.de/10011605670

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011916881

Debt Overhang, Rollover Risk, and Corporate Investment : Evidence from the European Crisis

Kalemli-Ozcan, Sebnem - 2019

We quantify the role of financial factors behind the sluggish post-crisis performance of European firms. We use a firm-bank-sovereign matched database to identify separate roles for firm and bank balance sheet weaknesses arising from changes in sovereign risk and aggregate demand conditions. We...

Persistent link: https://www.econbiz.de/10012892581