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following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not …
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prominent policy prescriptions - lower exposure of banks to domestic sovereign debt or a commitment not to bailout banks - can …
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This paper studies euro area CDS spreads during the financial crisis. We examine the impact of the crisis on both commercial banks and sovereigns, and focus on two questions. First, have the ECB's open market operations reduced market stress? It seems that large repo volumes, especially if...
Persistent link: https://www.econbiz.de/10009702192
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
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swaps (CDS) for a panel of 36 countries including the Eurozone. We find that austerity practice generally leads to an …
Persistent link: https://www.econbiz.de/10013062276
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the...
Persistent link: https://www.econbiz.de/10012018723