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The pricing of sovereign risk and contagion during the European sovereign debt crisis

Beirne, John; Fratzscher, Marcel - 2013

Persistent link: https://www.econbiz.de/10010233234

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...

Persistent link: https://www.econbiz.de/10013061742

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Does austerity pay off? : conference paper

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes - 2014

Austerity measures are frequently enacted when the sustainability of public finances is in doubt. Such doubts are reflected in high sovereign yield spreads and put further strain on government finances. Is austerity successful in restoring market confidence, bringing about a reduction in yield...

Persistent link: https://www.econbiz.de/10010481328

Long-term returns in distressed sovereign bond markets : how did investors fare?

Andritzky, Jochen; Schumacher, Julian - 2019

Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking...

Persistent link: https://www.econbiz.de/10012102075

Systemic risk and sovereign debt in the Euro area

Radev, Deyan - 2013

We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...

Persistent link: https://www.econbiz.de/10010226548

Financial contagion and the European debt crisis

Missio, Sebastian; Watzka, Sebastian - 2011

Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...

Persistent link: https://www.econbiz.de/10009272289

Transmission of Sovereign Risk in the Euro Crisis

Brutti, Filippo - 2013

We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European...

Persistent link: https://www.econbiz.de/10013091155

Transmission of sovereign risk in the euro crisis

Brutti, Filippo; Filippo, Sauré - 2012

We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate...

Persistent link: https://www.econbiz.de/10009539631

Sovereign Default Risk and the US Equity Market

Jeanneret, Alexandre - 2018

This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...

Persistent link: https://www.econbiz.de/10012940553

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