We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting …. While the impact is negligible for the highest ratings, there emerges a significant yield discount for mid-ratings, which is … unless the perceived probability of default is too small. Nevertheless, at low ratings this relevance can be weakened by an …

This paper develops an early warning system for sovereign debt crises, broadly defined as episodes of outright default …

This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield … the paper suggest that, in recent months, for several countries the spread has increased to levels that are well above …

compressing bond risk premia. Before 2000, the fall in rates is largely due to the in-creasing demand pressure exerted by UK …

We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First …-specific credit risk. Banks� sovereign risk exposures vary with banks� size, their holdings of sovereign debt, and expected …, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign …

sovereign and bank systemic risk are particularly interlinked in the UK. …