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Anaya, Pablo; Cera, Katharina; Georgiadis, Georgios; … - 2025

We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed...

Persistent link: https://www.econbiz.de/10015339629

European government bond dynamics and stability policies : taming contagion risks

Schwendner, Peter; Schuele, Martin; Ott, Thomas; … - In: The journal of network theory in finance 1 (2015) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10011449416

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...

Persistent link: https://www.econbiz.de/10011759005

Credit rating downgrades and sudden stops of capital flows in the Eurozone

Ioannou, Stefanos - In: Journal of international commerce, economics and policy 8 (2017) 3, pp. 1-36

Persistent link: https://www.econbiz.de/10011788719

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...

Persistent link: https://www.econbiz.de/10011637545

Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion …

Persistent link: https://www.econbiz.de/10010222446

Market Integration and Contagion – The Curious Case of the Eurozone Debt Crisis

Baur, Dirk G. - 2016

market integration and contagion and demonstrates that the disintegration of the Eurozone sovereign debt markets was a … necessary condition for contagion. An analysis of extreme systemic shocks shows that contagion in the Eurozone debt crisis was … Eurozone countries in May 2010 coinciding with flight to quality from the periphery to the core and the 2010 “flash crash” in …

Persistent link: https://www.econbiz.de/10012995305

Nonfinancial Debt and Economic Growth in Euro-Area Countries

Gómez Puig, Marta - 2017

In this paper we analyse the effects of all sources of the accumulation of nonfinancial debt (household, corporate as well as government) on economic growth in ten euro-area countries during the 1980-2015 period. To this end, we make use of three models (a baseline, an asymmetric and a threshold...

Persistent link: https://www.econbiz.de/10012951846

Banks Matter in Eurozone Debt Crisis

Wind, Serge L. - 2011

The eurozone sovereign debt crisis, characterized by enormous debt burdens faced by its weakest economies, has also … peripheral eurozone countries have dropped in value and are being reclassified from their prior riskless weight assigned by Basel …

Persistent link: https://www.econbiz.de/10013117156