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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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Banks and sovereign risk : a granular view
Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...
Persistent link: https://www.econbiz.de/10009787584
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Dispelling the shadow of fiscal dominance? : fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic
Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021 - This version: June 2021
We use event study regressions to compare the impact of EU monetary versus fiscal policy announcements on government bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU fiscal level - has been more crucial for the stabilization of...
Persistent link: https://www.econbiz.de/10012534642
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012222610
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Exchange rate regimes and fiscal discipline in OECD countries
Heinemann, Friedrich - 1999
Since the start of EMU national fiscal policy in the Eurozone can be conducted almost without paying any attention to … estimation for 20 OECD countries from 1970 onwards. The conclusion is that the exchange rate regime as such is not relevant for …
Persistent link: https://www.econbiz.de/10000683878
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Convenient but risky government bonds
Kaldorf, Matthias; Röttger, Joost - 2023
How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on financial markets. Convenience yield is dependent...
Persistent link: https://www.econbiz.de/10014320773
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Enforcement of fiscal rules : lessons from the fiscal compact
Larch, Martin; Busse, Matthias; Jankovics, László - 2021
In 2012, 22 EU countries signed the Fiscal Compact, an intergovernmental agreement aimed at backing EU fiscal rules with national arrangements. The main objective of the Compact was to strengthen compliance. Based on a survey of national independent fiscal institutions, we take a closer look at...
Persistent link: https://www.econbiz.de/10012671881
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Fiscal deficits, financial fragility, and the effectiveness of government policies
Kirchner, Markus; Wijnbergen, Sweder van - 2012
Recent macro developments in the euro area have highlighted the interactions between fiscal policy, sovereign debt, and financial fragility. We take a structural macroeconomic model with frictions in the financial intermediation process, in line with recent research, but introduce asset choice...
Persistent link: https://www.econbiz.de/10009625616
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk … ; eurozone economies ; FIGARCH ; dynamic conditional correlation …
Persistent link: https://www.econbiz.de/10009731982
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Nationale Schuldenbremsen für die Länder der Europäischen Union : taugt das deutsche Modell als Vorbild?
Hetschko, Clemens; Quint, Dominic; Thye, Marius - 2012
Zu den Verpflichtungen der Mitglieder im Europäischen Fiskalpakt gehört unter anderem, eine nationale Schuldenbremse einzuführen - eine Regel zur Begrenzung der jährlichen Neuverschuldung. Deutschland ist diesen Schritt bereits gegangen. Im vorliegenden Beitrag überprüfen wir, inwieweit...
Persistent link: https://www.econbiz.de/10009540728