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Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015
propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …
Persistent link: https://www.econbiz.de/10010527055
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Systemic risk and sovereign debt in the Euro area
Radev, Deyan - 2013
documents an increase in systemic risk contributions in the euro area during the post-Lehman global recession and especially … after the beginning of the euro area sovereign debt crisis. We also find a considerable potential for cascade effects from … small to large euro area sovereigns. When we investigate the effect of sovereign default on the European Union banking …
Persistent link: https://www.econbiz.de/10010226548
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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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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features observed in the data, in particular, the clustering of high default...
Persistent link: https://www.econbiz.de/10010357304
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Bank and sovereign debt risk
Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2012 - This draft: December 2012
Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign …
Persistent link: https://www.econbiz.de/10010226188
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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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Bank and sovereign debt risk connection
Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2013 - This draft: November 2013
Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign …
Persistent link: https://www.econbiz.de/10012060960
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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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Trust me! : I am a European Central Banker
Bursian, Dirk; Fürth, Sven - 2012 - This version: June 2012
In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique cross-country dataset which includes a rich set of socio-economic...
Persistent link: https://www.econbiz.de/10010226924
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10010503289