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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

What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk

Aizenman, Joshua - 2011

, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …

Persistent link: https://www.econbiz.de/10013120304

Systemic Sovereign Credit Risk : Lessons from the U.S. And Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...

Persistent link: https://www.econbiz.de/10013125926

A Fiscal Union for the Euro : Some Lessons from History

Bordo, Michael D. - 2011

The recent financial crisis 2007-2009 was the longest and the deepest recession since the Great Depression of 1930. The crisis that originated in subprime mortgage markets was spread and amplified through globalised financial markets and resulted in severe debt crises in several European...

Persistent link: https://www.econbiz.de/10013120322

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

The Economics of Sovereign Debt, Bailouts and the Eurozone Crisis

Gourinchas, Pierre-Olivier; Martin, Philippe J.; … - 2022

recent Eurozone crisis. We propose a model to analyze and understand bailouts in a monetary union, and the large observed …

Persistent link: https://www.econbiz.de/10014095819

How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads

Eichengreen, Barry - 2010

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...

Persistent link: https://www.econbiz.de/10012757524

Sovereign Credit Risk and Exchange Rates : Evidence from CDS Quanto Spreads

Augustin, Patrick - 2018

the Twin Ds and gauge the associated risk premiums. We study countries in the Eurozone because their quanto spreads …

Persistent link: https://www.econbiz.de/10012921536

Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis

Beltratti, Andrea - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Persistent link: https://www.econbiz.de/10013022926

Sovereign Default Risk and Banks in a Monetary Union

Uhlig, Harald - 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10013077642