In this paper we examine whether the weights of the forecasted macroeconomic variables in the valuation of sovereign risks has changed after the adoption of the Bâle 2 new regulation framework (around the years 2005/2006 when the new rules begun to be implemented in Europe). For purpose of...

Using second generation Panel Unit Root Tests (PURT), panel cointegration tests and panel Granger causality tests we find that although the financial crisis may have increased risk aversion for investors, it did not make disappearing speculative behaviours on structured credit markets. On the...

This paper provides empirical evidence of the heterogeneous borrowing behaviours of French regions, despite a common accountability constraint that forces them to balance their budget and to borrow only to finance investment expenditure (golden rule). To this end, we conduct a quantile...