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Euro area government bonds : integration and fragmentation during the sovereign debt crisis

Ehrmann, Michael; Fratzscher, Marcel - 2015

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … European Central Bank’s (ECB’s) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …

Persistent link: https://www.econbiz.de/10010519824

Mispricing of sovereign risk and investor herding in African debt markets

Morsy, Hanan; Moustafa, Eman - 2020

Persistent link: https://www.econbiz.de/10012220650

Credit ratings and the pricing of sovereign debt during the euro crisis

Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - In: Oxford review of economic policy 29 (2013) 3, pp. 582-609

Persistent link: https://www.econbiz.de/10010344446

ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk

Katsampoxakis, Ioannis - In: EuroMed journal of business 17 (2022) 2, pp. 218-245

Persistent link: https://www.econbiz.de/10013362444

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015063189

Interest-rate setting at the ECB following the financial and sovereign debt crises, in real-time

Bouvet, Florence; King, Sharmila - In: Modern economy 2 (2011) 5, pp. 743-756

Persistent link: https://www.econbiz.de/10009620642

Sovereign risk premia in the Euro Area and the role of contagion

Linciano, Nadia; Giordano, Luca; Soccorso, Paola - In: Journal of financial management, markets and institutions 1 (2013) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10011949545

Intraday dynamics of euro area sovereign credit risk contagion

Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016

Persistent link: https://www.econbiz.de/10011535645

Spillovers and contagion in the sovereign CDS market

Adam, Michał - In: Bank i kredyt 44 (2013) 6, pp. 571-604

Persistent link: https://www.econbiz.de/10010339876

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