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~isPartOf:"ECB Working Paper"
~isPartOf:"Journal of Risk and Financial Management"
~isPartOf:"MPRA Paper"
~isPartOf:"Working paper series / European Central Bank"
~subject:"EU-Staaten"
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ECONIS (ZBW)
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EconStor
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1
Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna
;
Kapp, Daniel
;
Ramella, Federico
; …
-
2022
the industry they operate in. We find that firm level
information
appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
Saved in:
2
Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach
Bua, Giovanna
;
Kapp, Daniel
;
Ramella, Federico
; …
-
2022
in. We find that firm level
information
appears to beused as a gauge for transition risk, in particular since 2015 …
Persistent link: https://www.econbiz.de/10013404918
Saved in:
3
A High Frequency Assessment of the ECB Securities Markets Programme
Ghysels, Eric
-
2014
Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...
Persistent link: https://www.econbiz.de/10013059119
Saved in:
4
How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin
-
2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
Saved in:
5
An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana
;
Andersson, Magnus
;
Georgescu, Oana Maria
-
2009
CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more
information
about liquidity …
Persistent link: https://www.econbiz.de/10011605131
Saved in:
6
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian
;
Castrén, Olli
-
2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10011605170
Saved in:
7
Balance sheet interlinkages and macro-financial risk analysis in the Euro area
Kavonius, Ilja Kristian
;
Castrén, Olli
-
2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10003969268
Saved in:
8
An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana
;
Andersson, Magnus
;
Georgescu, Oana Maria
-
2009
CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more
information
about liquidity …
Persistent link: https://www.econbiz.de/10003963752
Saved in:
9
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Castren, Olli
-
2009
The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures...
Persistent link: https://www.econbiz.de/10013153431
Saved in:
10
Measuring euro area monetary policy
Altavilla, Carlo
;
Brugnolini, Luca
;
Gürkaynak, Refet S.
; …
-
2019
We study the
information
flow from the ECB on policy dates since its inception, using tick data. We show that three …
Persistent link: https://www.econbiz.de/10012009157
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