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ECB interventions in distressed sovereign debt markets : the case of Greek bonds

Trebesch, Christoph; Zettelmeyer, Jeromin - 2018

We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....

Persistent link: https://www.econbiz.de/10011789289

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013

French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …

Persistent link: https://www.econbiz.de/10010206145

The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis

Nauhaus, Steffen - 2015

the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …

Persistent link: https://www.econbiz.de/10011317827

The sovereign default problem in the Eurozone : an insurance-based approach

Arnold, Nadjeschda Katharina; Rees, Ray - 2015

This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that …

Persistent link: https://www.econbiz.de/10010533082

Selective default expectations

Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

Persistent link: https://www.econbiz.de/10014495920

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874

EMU, the Changing Role of Public Debt and the Revival of Sovereign Credit Risk Perception

Schmid, Kai D.; Schmidt, Michael - 2012

Using annual data for 21 OECD countries we provide evidence of remarkable mispricing of sovereign bonds for the so-called GIIPS countries before the start of the financial crisis. Our results also qualify the view of pronounced overpricing in the crisis. In detail, we find: (i) Since the 1980s...

Persistent link: https://www.econbiz.de/10009680969

A more effective euro area monetary policy than OMTs : gold-backed sovereign debt

Belke, Ansgar - 2013

This paper argues that using gold as collateral for highly distressed bonds would bring great benefits to the euro area in terms of reduced financing costs and bridge-financing. It is mindful of the legal issues that this will raise and that such a suggestion will be highly controversial....

Persistent link: https://www.econbiz.de/10009771146

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