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Hedging European Government Bond Portfolios during the Recent Sovereign Debt Crisis

Bessler, Wolfgang - 2014

The sovereign debt crisis challenged investors in European government bonds to deal with volatile interest rate spreads. For managing sovereign risk, “Eurex” introduced futures contracts on Italian government bonds reflecting risks of lower rated countries. We analyze hedging strategies for...

Persistent link: https://www.econbiz.de/10013065571

Causality and Contagion in EMU Sovereign Debt Markets

Gómez Puig, Marta - 2014

This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government...

Persistent link: https://www.econbiz.de/10013057489

Euro Periphery Sovereign Default Swap Pricing

Realdon, Marco - 2012

This paper tests variants of the Black (1995) model for pricing the sovereign Credit Default Swaps (CDS) of Greece, Ireland, Portugal, Spain and Italy. The default intensity of each country is driven by two latent Gaussian factors. The model, which well fits observed CDS rates, can only be...

Persistent link: https://www.econbiz.de/10013100178

The Euro Area Sovereign Debt Crisis : Can Contagion Spread from the Periphery to the Core?

Gorea, Denis - 2013

We examine the determinants of joint default risk of Euro Area countries during 2007-2011. To accomplish this, we recover joint default probabilities from individual CDS contracts. In contrast to earlier theoretical studies, we find that financial linkages are an active contagion transmission...

Persistent link: https://www.econbiz.de/10013091055

Liquidity Spillovers in Sovereign Bond and CDS Markets : An Analysis of The Eurozone Sovereign Debt Crisis

Calice, Giovanni - 2017

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived … sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries …. Empirically, we consider the differential spread on various Eurozone members sovereign bonds over the equivalent German benchmark …

Persistent link: https://www.econbiz.de/10012975864

Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis

Aizenman, Joshua - 2013

This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...

Persistent link: https://www.econbiz.de/10012459536

Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt

Van Spronsen, Josha - 2020

We provide evidence that the ECB's unconventional monetary policy dampens yield cycles in secondary Eurozone sovereign …

Persistent link: https://www.econbiz.de/10012846683

Financial markets and fiscal discipline in the Eurozone

Canale, Rosaria Rita; De Simone, Elina; Spagnolo, Nicola - In: Structural change and economic dynamics : SC+ED 58 (2021), pp. 490-499

Persistent link: https://www.econbiz.de/10012648733

Quantifying sovereign risk in the euro area

Singh, Manish K.; Gómez Puig, Marta; Sosvilla-Rivero, … - In: Economic modelling 95 (2021), pp. 76-96

Persistent link: https://www.econbiz.de/10012695852

COVID-induced sovereign risk in the euro area : when did the ECB stop the spread?

Ortmans, Aymeric; Tripier, Fabien - In: European economic review : EER 137 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012698183