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Pricing sovereign credit risk of an emerging market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016

Persistent link: https://www.econbiz.de/10011618591

Balance of payment crises in emerging markets : how early were the "early" warning signals?

Bussière, Matthieu (contributor) - 2007

Although many papers have already proposed empirical models of currency crises, the timing of such crises has received relatively little attention so far. Most papers use indeed a static specification and impose the same lag structure across all explanatory variables. This, by construction,...

Persistent link: https://www.econbiz.de/10003410591

Chronicle of currency collapses : re-examining the effects on output

Bussière, Matthieu; Saxena, Sweta Chaman; Tovar, … - 2010

The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period...

Persistent link: https://www.econbiz.de/10003986706

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011901498

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10003867020

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

Persistent link: https://www.econbiz.de/10009765237

Fiscal multipliers with financial fragmentation risk and interactions with monetary policy

Darracq Pariès, Matthieu; Müller, Georg; … - 2020

We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary policy can support the macroeconomic transmission of fiscal interventions. We employ a DSGE model with financial frictions whereby the interplay of corporate, banks and...

Persistent link: https://www.econbiz.de/10012241104

Regulating the doom loop

Alogoskoufis, Spyros; Langfield, Sam - 2019

Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on …

Persistent link: https://www.econbiz.de/10012061145

Beyond spreadsmeasuring sovereign market stress in the euro area

Garcia de Andoain, Carlos; Kremer, Manfred - 2018

In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro … area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity … eleven euro area member states and also present four options of a SovCISS for the entire monetary union. In addition, we …

Persistent link: https://www.econbiz.de/10011921004

Firm or bank weakness? : access to finance since the European sovereign debt crisis

Corbisiero, Giuseppe; Faccia, Donata - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank … the euro area during the sovereign debt crisis, and in credit developments characterising the post-crisis recovery … representation of euro area firms of small and medium size. Our findings suggest that, while firm balance sheet factors have been …

Persistent link: https://www.econbiz.de/10012150099