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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

Beyond spreadsmeasuring sovereign market stress in the euro area

Garcia de Andoain, Carlos; Kremer, Manfred - 2018

In this paper we propose a composite indicator that measures multidimensional 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/10011921004

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion …

Persistent link: https://www.econbiz.de/10010222446

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10013248886

Escape routes from sovereign default risk in the euro area

Semmler, Willi; Proano, Christian - 2015

The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent...

Persistent link: https://www.econbiz.de/10010498572

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis

Nauhaus, Steffen - 2015

the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …

Persistent link: https://www.econbiz.de/10011317827

The Power of Opinion : More Evidence of a GIPS-Markup in Sovereign Ratings During the Euro Crisis

Nauhaus, Steffen - 2015

the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …

Persistent link: https://www.econbiz.de/10013016093