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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers

Kirschenmann, Karolin - 2018

European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10012931492

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

A zero-risk weight channel of sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - In: Journal of financial stability 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012431750

Exchange rates and fundamentals : new evidence from real-time data

Ehrmann, Michael (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002125231

Exchange rates and fundamentals : new evidence from real-time data

Ehrmann, Michael; Fratzscher, Marcel - In: Journal of international money and finance 24 (2005) 2, pp. 317-341

Persistent link: https://www.econbiz.de/10002635956

Interdependence between the Euro area and the US : what role for EMU?

Ehrmann, Michael (contributor); … - 2002

Persistent link: https://www.econbiz.de/10001749417

Exchange Rates and Fundamentals : New Evidence from Real-Time Data

Ehrmann, Michael; Fratzscher, Marcel - 2021

-time data. We find that such economic news in the United States, Germany and the euro area have indeed been a driving force … behind daily US dollar - euro/DEM exchange rate developments in the period 1993-2003. The larger importance of US … macroeconomic news is at least partly explained by their earlier release time compared to corresponding German and euro area news …

Persistent link: https://www.econbiz.de/10013319332

Interdependence between the Euro area and the US : what role for EMU?

Ehrmann, Michael - 2002

Persistent link: https://www.econbiz.de/10013434525

Exchange rates and fundamentals : new evidence from real-time Data

Ehrmann, Michael - 2004

Persistent link: https://www.econbiz.de/10013434702

Public interventions in the European banking sector : implications for financial stability and the real economy

Borchert, Lea - 2018

Persistent link: https://www.econbiz.de/10012012954