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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 Tail Risk

López-Espinosa, Germán - 2014

We provide a new measure of sovereign country risk exposure to global sovereign tail risk (SCRE) based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. After...

Persistent link: https://www.econbiz.de/10013050575

Sovereign Debt : Now What?

Gelpern, Anna - 2016

The sovereign debt restructuring regime looks like it is coming apart. Changing patterns of capital flows, old creditors' weakening commitment to past practices, and other stakeholders' inability to take over, or coalesce behind a viable alternative, have challenged the regime from the moment it...

Persistent link: https://www.econbiz.de/10012985499

Addressing the safety trilemma : a safe sovereign asset for the eurozone

Riet, Ad van - 2017

for the eurozone. The triple euro area crisis showed the costly consequences of ignoring the "safety trilemma". Keeping a …

Persistent link: https://www.econbiz.de/10011975765

The Home Bias in Sovereign Ratings

Fuchs, Andreas; Gehring, Kai - 2013

Credit rating agencies are frequently criticized for producing sovereign ratings that do not accurately reflect the economic and political fundamentals of rated countries. This article discusses how the home country of rating agencies could affect rating decisions as a result of political...

Persistent link: https://www.econbiz.de/10014155257

Sovereign Credit Rating Mismatches

Afonso, António - 2017

We study the factors behind split ratings in sovereign credit ratings from different agencies, for the period 1980-2015. We employ random effects ordered and simple probit approaches to assess the explanatory power of different macroeconomic, government and financial variables. Our results show...

Persistent link: https://www.econbiz.de/10012967004

Portfolio Diversification in the Sovereign Credit Swap Markets

Consiglio, Andrea - 2017

tested in an active management setting for Eurozone core, periphery, and Central, Eastern and South-Eastern Europe (CESEE … positions, and hedgers with covered long and short exposures. The results compare favorably with the broad S\&P/ISDA Eurozone …

Persistent link: https://www.econbiz.de/10012968550

Sovereign Bond Prices, Haircuts and Maturity

Asonuma, Tamon - 2017

Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private...

Persistent link: https://www.econbiz.de/10012948159

Sovereign Bond Prices, Haircuts and Maturity

Asonuma, Tamon - 2017

Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ('haircuts') during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private...

Persistent link: https://www.econbiz.de/10012955172

Sovereign Debt Markets in Light of the Shadow Economy

Markellos, Raphael N. - 2015

We investigate the controversial role of the informal sector in the economy of 64 countries between 2003 and 2007 by focusing for the first time on the impact it has on sovereign debt markets. In addition to a standard ordered Probit regression, we employ two nonparametric neural network...

Persistent link: https://www.econbiz.de/10013038232