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Quantitative Easing and Sovereign Yield Spreads : Euro-Area Time-Varying Evidence

Afonso, António - 2017

We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of...

Persistent link: https://www.econbiz.de/10012941802

Fiscal Austerity and State-Dependent Response of Sovereign Spreads

Shi, Liang - 2023

Does fiscal austerity influence sovereign debt spreads in a state-dependent manner? To investigate this, we develop an endogenous sovereign default model that incorporates long-maturity debt, fiscal rules, and investment. We uncover novel insights in the Greek default. First, our model provides...

Persistent link: https://www.econbiz.de/10014353023

Money Factors and EMU Government Bond Markets’ Convergence

Philippas, Dionisis - 2016

the common currency has not a uniform effect on the bond yields and there is a nominal convergence between Eurozone bond …

Persistent link: https://www.econbiz.de/10013007720

Not Risk Free : The Relative Pricing of Euro Area Inflation-Indexed and Nominal Bonds

Simon, Zorka - 2016

Selective default is an event in which a sovereign issuer chooses not to meet obligations on a class of bonds, while servicing her other debt. This paper presents unique empirical evidence of selective default risk premium in inflation-linked sovereign bond (ILB) yields of Germany, France and...

Persistent link: https://www.econbiz.de/10012997219

Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis

Antonakakis, Nikolaos - 2014

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...

Persistent link: https://www.econbiz.de/10013058578

Sovereign Yield Spreads in the EMU : Crisis and Structural Determinants

Afonso, António - 2017

We use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of...

Persistent link: https://www.econbiz.de/10012961534

The Impact of Foreign Governing Law on European Government Bond Yields

Clare, Andrew - 2014

by local law, peaked at 262bp in terms of yield during the height of the crisis, when the very future of the Eurozone was …, despite the fact that between 88% and 100% of each Eurozone members' debt is currently issued under local law. Our view is … that investors in Eurozone government debt would do well to remember the phrase: ‘caveat emptor' …

Persistent link: https://www.econbiz.de/10013057448

Measuring connectedness of Euro area sovereign risk

Buse, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874

Unconventional monetary policy and bond market connectedness in the new normal

Akovalı, Umut; Yılmaz, Kamil - 2021

Since the global financial crisis, major central banks gradually switched to unconventional monetary policies (UMPs) as part of their efforts to directly influence the long-term interest rates. This study analyzes the impact of conventional/unconventional monetary policies on sovereign bond...

Persistent link: https://www.econbiz.de/10012495030

Pricing Contract Terms in a Crisis : Venezuelan Bonds in 2016

Carletti, Elena - 2017

As of this writing in June 2016, the markets are predicting Venezuela to be on the brink of default. On June 1, 2016, the 6 month CDS contract traded at about 7000bps which translates into a likelihood of default of over 90%. Our interest in the Venezuelan crisis is that its outstanding...

Persistent link: https://www.econbiz.de/10012969055