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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union

Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107

This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...

Persistent link: https://www.econbiz.de/10013407190

Sovereign risk premium and macroeconomy : causal relationship

Botey-Fullat, Maria; Marín-Palacios, Cristina; … - In: Contemporary economics 19 (2025) 1, pp. 18-45

In recent years, because of the 2008 financial crisis and the evolution of the sovereign debt markets, there has been a significant increase in interest in understanding the factors that determine the risk premium, becoming a key indicator of the financial stability of countries, and a measure...

Persistent link: https://www.econbiz.de/10015338584

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis … increasingly drove a wedge between a seemingly resilient Euro-Zone core and its faltering periphery, its first collateral victims … were the private banks of the hardest-hit sovereigns. They were rapidly followed by the rest of the Euro-Zone's banks as a …

Persistent link: https://www.econbiz.de/10013063273

The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone

Carnazza, Giovanni; Liberati, Paolo - In: Journal of policy modeling : JPMOD ; a social science … 43 (2021) 3, pp. 521-542

Persistent link: https://www.econbiz.de/10012880120

Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2019

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven diﬀerent maturities. In identifying this impact, it adopts a novel econometric...

Persistent link: https://www.econbiz.de/10012147209

Anatomy of a sovereign debt crisis : CDS spreads and real-time macroeconomic data

Alessi, Lucia; Balduzzi, Pierluigi; Savona, Roberto - 2019 - This draft: February 2019

We construct a unique and comprehensive data set of 19 real-time daily macroeconomic indicators for 11 Eurozone …

Persistent link: https://www.econbiz.de/10012053541

Macroeconomic effects on emerging-markets sovereign credit spreads

Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of financial stability 20 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011574263

Does austerity pay off?

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes - 2014

Policy makers often implement austerity measures when the sustainability of public finances is in doubt and, hence, sovereign yield spreads are high. Is austerity successful in bringing about a reduction in yield spreads? We employ a new panel data set which contains sovereign yield spreads for...

Persistent link: https://www.econbiz.de/10010463604

Market Conditions, Default Risk and Credit Spreads

Tang, Dragon Yongjun - 2016

This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...

Persistent link: https://www.econbiz.de/10012989275