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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

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

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 … nonlinear dynamics. 2) The deterioration of market conditions for financial names changes the way investors price risk of the …

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

Debt Crises : For Whom the Bell Tolls

Cole, Harold L. - 2016

fundamental shocks in one country can induce investors to acquire information, generating price volatility and increased risk …

Persistent link: https://www.econbiz.de/10012989128

Sovereign Debt

Eaton, Jonathan - 2010

We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose? and (3) How might debt be restructured to reduce...

Persistent link: https://www.econbiz.de/10012763742

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

Linkages Across Sovereign Debt Markets

Arellano, Cristina - 2013

We develop a multicountry model in which default in one country triggers default in other countries. Countries are linked to one another by borrowing from and renegotiating with common lenders with concave payoffs. A foreign default increases incentives to default at home because it makes new...

Persistent link: https://www.econbiz.de/10013074284

Competition and Intervention in Sovereign Debt Markets

Paasche, Bernhard - 2010

We investigate markets for defaultable sovereign debt in which even though there are many identical lenders and symmetric information (including no hidden actions), perfect competition does not obtain. When a private lender allows a sovereign country to increase its level of indebtedness, that...

Persistent link: https://www.econbiz.de/10012763075

Debt Crises and Risk Sharing : The Role of Markets Versus Sovereigns

Kalemli-Ozcan, Sebnem - 2014

transfers, and saving in achieving risk sharing during the recent European crisis. We focus on the sub-periods 1990-2007, 2008 …-2009, and 2010 and consider separately the European countries hit by the sovereign debt crisis in 2010. We decompose risk … important role in hindering risk sharing during the sovereign debt crisis …

Persistent link: https://www.econbiz.de/10013058253

Vulnerable Banks

Greenwood, Robin - 2012

explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank … injections. We apply the framework to European banks vulnerable to sovereign risk in 2010 and 2011 …

Persistent link: https://www.econbiz.de/10013097784