spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …

In this paper we propose a composite indicator that measures multi-dimensional 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 …

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to … euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a …

The sovereign debt crisis in the euro area has increased the interest in early warning indicators, with the aim to …, especially for the euro area. We show that a country specific approach could strongly increase the signalling power of early …

We use a unique dataset of ratings for euro area corporate loans from commercial banks’ internal rating-based (IRBs … estimation of risk by banks …

's prosperity. The paper focuses on political events in Italy over the past 35 years and asks whether the adoption of the euro in …'s financial markets throughout the 1970s, 1980s and 1990s. The introduction of the euro appears to have indeed played a major role …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …