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Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin
Bernoth, Kerstin; Erdogan, Burcu - In: DIW Wochenbericht 77 (2010) 51/52, pp. 12-18
Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...
Persistent link: https://www.econbiz.de/10011602283
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Flight patterns and yields of European Government Bonds
Schweinitz, Gregor von - 2013
The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...
Persistent link: https://www.econbiz.de/10009771035
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Sentiment Analysis of European Bonds 2016–2018
Schwendner, Peter - 2019
We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative...
Persistent link: https://www.econbiz.de/10012863752
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European Government Bond Dynamics and Stability Policies : Taming Contagion Risks
Schwendner, Peter - 2018
From 2004 to 2015, the market perception of the sovereign risks of the euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. “Core” and “peripheral” bonds cluster in a bloc-like structure,...
Persistent link: https://www.econbiz.de/10012924391
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European Government Bond Dynamics and Stability Policies : Taming Contagion Risks
Schwendner, Peter - 2017
From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...
Persistent link: https://www.econbiz.de/10012971807
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A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads : Application of Eurozone Market Data
Lapshin, Victor - 2013
In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial...
Persistent link: https://www.econbiz.de/10013085033
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Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe
Claeys, Peter - 2014
The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...
Persistent link: https://www.econbiz.de/10013056837
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The Determinants of a Cross Market Arbitrage Opportunity : Theory and Evidence for the European Bond Market
Perlin, Marcelo - 2015
This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us … to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the … corroborate strongly the predictions from the structural model. The event of a cross market arbitrage opportunity has a certain …
Persistent link: https://www.econbiz.de/10013038779
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Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market
Huij, Joop - 2010
only marginally compensated for the risks of risk arbitrage in the European strips market …
Persistent link: https://www.econbiz.de/10013141881
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Limits to Arbitrage : Empirical Evidence from Euro Area Sovereign Bond Markets
Corradin, Stefano - 2014
We document that the yield-to-maturity of an USD-denominated bond, once the foreign exchange rate risk is hedged, could be higher by more than 150 basis points than a comparable EUR-denominated bond issued by the same Euro area country between 2008-2013. Using panel and matching techniques, we...
Persistent link: https://www.econbiz.de/10013064192