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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Baum, Christopher F. - 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/10013073134

The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

De Santis, Roberto A. - 2012

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to the German Bund have been characterized by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September...

Persistent link: https://www.econbiz.de/10013111942

Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market

Chiarella, Carl; Ellen, Saskia ter; He, Xue-zhong; Wu, Eliza - In: Journal of empirical finance 32 (2015), pp. 19-34

Persistent link: https://www.econbiz.de/10011556769

Optimal Bailouts in Banking and Sovereign Crises

Hur, Sewon; Sosa‐Padilla, César; Yom, Zeynep - 2022

We study optimal bailout policies in the presence of banking and sovereign crises. First, we use European data to …

Persistent link: https://www.econbiz.de/10013308897

The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

Persistent link: https://www.econbiz.de/10011375946

The risk of the sovereign debt default : the Eurozone crisis 2008-2013

Stamatopoulos, Theodoros V.; Arvanitis, Stavros E.; … - In: Applied economics 49 (2017) 38, pp. 3782-3796

Persistent link: https://www.econbiz.de/10011819935

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Intraday dynamics of euro area sovereign credit risk contagion

Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016

Persistent link: https://www.econbiz.de/10011535645

The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally

Gori, Filippo - 2014

banks to public accounts as a consequence of implicit or explicit bailout guarantees to distressed banking systems. This … foreign claims and countries' credit risk. Results for the eurozone identify banks' foreign exposure as a major determinant of …

Persistent link: https://www.econbiz.de/10010459090

Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis

Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143

Persistent link: https://www.econbiz.de/10009708778