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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...
Persistent link: https://www.econbiz.de/10011276429
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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns …
Persistent link: https://www.econbiz.de/10010950931
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Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
Beltratti, Andrea; Stulz, René M. - National Bureau of Economic Research (NBER) - 2009
Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors...
Persistent link: https://www.econbiz.de/10005061603
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What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk
Aizenman, Joshua; Hutchison, Michael Mercier; Jinjarak, … - National Bureau of Economic Research (NBER) - 2011
, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …
Persistent link: https://www.econbiz.de/10009294566
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Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis
Aizenman, Joshua; Hutchison, Michael Mercier; Binici, Mahir - National Bureau of Economic Research (NBER) - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...
Persistent link: https://www.econbiz.de/10010950758
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Asia Chartbook: Crises, Credit and Debt, 1835-2013
Reinhart, Carmen - National Bureau of Economic Research (NBER) - 2013
This Chartbook, which is a companion piece to Carmen M. Reinhart and Takeshi Tashiro (2013) "Crowding Out Redefined: The Role of Reserve Accumulation," focuses on nine Asian economies: China, India, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore and Thailand. Like its predecessor...
Persistent link: https://www.econbiz.de/10010951127
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Why Has Japan's Massive Government Debt Not Wreaked Havoc (Yet)?
Horioka, Charles Yuji; Hagiwara, Akiko Terada-; Nomoto, … - National Bureau of Economic Research (NBER) - 2013
In this paper, we present data on trends over time in government debt financing in Japan since 2010 with emphasis on the importance of foreign holders and speculate about the determinants of those trends. We find that Japanese government securities were held primarily by domestic holders until...
Persistent link: https://www.econbiz.de/10010951434
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Sovereign Default Risk and Banks in a Monetary Union
Uhlig, Harald - National Bureau of Economic Research (NBER) - 2013
This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...
Persistent link: https://www.econbiz.de/10010951167
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Banks, Sovereign Debt and the International Transmission of Business Cycles
Iacoviello, Matteo; Minetti, Raoul; Guerrieri, Luca - National Bureau of Economic Research (NBER) - 2012
This paper studies the international propagation of sovereign debt default. We posit a two-country economy where capital constrained banks grant loans to firms and invest in bonds issued by the domestic and the foreign government. The model economy is calibrated to data from Europe, with the two...
Persistent link: https://www.econbiz.de/10010785623
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External Adjustment, Global Imbalances and Valuation Effects
Gourinchas, Pierre-Olivier; Rey, Helene - National Bureau of Economic Research (NBER) - 2013
We provide an overview of the recent developments of the literature on the determinants of long term capital flows, global imbalances and valuation effects. We present the main stylized facts of the new international financial landscape in which external balance sheets of countries have grown in...
Persistent link: https://www.econbiz.de/10010678470