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Conditional probabilities and contagion measures for Euro area sovereign default risk
Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720702
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Do the ECB's monetary policies benefit emerging market economies? : a GVAR analysis on the crisis and post-crisis period
Colabella, Andrea - 2019
Persistent link: https://www.econbiz.de/10012017913
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …
Persistent link: https://www.econbiz.de/10011940034
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
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Output divergence in fixed exchange rate regimes : is the euro area growing apart?
Chen, Yao; Ward, Felix - 2022 - This version: April 2022
calibrated to the euro area, the model implies a slowdown in the TFP growth rate of the euro area's periphery relative to its … TFP growth in the aftermath of joining the euro. …
Persistent link: https://www.econbiz.de/10013186796
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The importance of accounting for time trends when estimating the Euro effect on trade
Bun, Maurice J. G.; Klaassen, Franc - 2004
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … euro is only present at the end of the sample, this may have led to an upward bias in existing euro estimates to help … have different effects across country-pairs. Data on industrialized countries over 1967-2002 show the existing euro effects …
Persistent link: https://www.econbiz.de/10011334328
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Pure or wake-up-call contagion? : another look at the EMU sovereign debt crisis
Giordano, Raffaela; Pericoli, Marcello; Tommasino, Pietro - 2013
Persistent link: https://www.econbiz.de/10010351199
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A tale of fragmentation : corporate funding in the euro-area bond market
Zaghini, Andrea - 2017
Persistent link: https://www.econbiz.de/10011956788
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Identifying the weights in exchange market pressure
Klaassen, Franc - 2011
Persistent link: https://www.econbiz.de/10008857053
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Analyzing and forecasting economic crises with an agent-based model of the euro area
Hommes, Cars H.; Poledna, Sebastian - 2023
We develop an agent-based model for the euro area that fulfils widely recommended requirements for nextgeneration … crises of the euro area: the Financial crisis of 2007-2008 and the subsequent Great Recession, the European sovereign debt … crisis arising endogenously around the most intense phase of the Great Recession in the euro area without any exogenous …
Persistent link: https://www.econbiz.de/10014233385