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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...

Persistent link: https://www.econbiz.de/10013061742

Sovereign to Corporate Risk Spillovers

Augustin, Patrick - 2016

Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...

Persistent link: https://www.econbiz.de/10013001180

Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Pasricha, Gurnain Kaur - 2015

control actions do not allow countries to avoid the trade-offs of the monetary policy trilemma. Where they have a desired …

Persistent link: https://www.econbiz.de/10013016947

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

Chudik, Alexander - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10013131899

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 sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials' true credit risk...

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

The Dynamics of Spillover Effects during the European Sovereign Debt Crisis

Alter, Adrian - 2013

functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign …

Persistent link: https://www.econbiz.de/10013081460

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks

Georgiadis, Georgios - 2017

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

Persistent link: https://www.econbiz.de/10012953383

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

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10013154956