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Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads

Borgy, Vladimir - 2014

This paper develops an arbitrage-free affine term structure model of potentially defaultable sovereign bonds to model a cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy under European Monetary Union determines the short...

Persistent link: https://www.econbiz.de/10013067296

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 bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...

Persistent link: https://www.econbiz.de/10012307696

The Dynamics of Spillover Effects during the European Sovereign Debt Crisis

Alter, Adrian - 2013

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...

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

The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil

Alter, Adrian - 2013

Persistent link: https://www.econbiz.de/10013089792

The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDs Market : An Econometric Analysis

Santos, Carlos - 2011

In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We are particularly interested in understanding which determinants have led investors to ask for higher yields on sovereign debt from the Euro shatter belt. We dismiss the definition of speculation...

Persistent link: https://www.econbiz.de/10013124110