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Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

Persistent link: https://www.econbiz.de/10009148883

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

Beirne, John; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

Persistent link: https://www.econbiz.de/10011084109

Sovereign Risk, Fiscal Policy, and Macroeconomic Stability

Corsetti, Giancarlo; Kuester, Keith; Meier, André; … - C.E.P.R. Discussion Papers - 2012

This paper analyzes the impact of strained government finances on macroeconomic stability and the transmission of fiscal policy. Using a variant of the model by Curdia and Woodford (2009), we study a 'sovereign risk channel' through which sovereign default risk raises funding costs in the...

Persistent link: https://www.econbiz.de/10011083641

Sovereign credit ratings in the European Union: a model-based fiscal analysis

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013

We propose a model-based measure of sovereign credit ratings derived solely from the fiscal position of a country: a forecast of its future debt liabilities, and its potential to use tax policy to repay these. We use this measure to calculate credit ratings for fourteen European countries over...

Persistent link: https://www.econbiz.de/10011083470

Modelling the U.S. sovereign credit rating

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012

A methodology for generating sovereign credit ratings based on macroeconomic theory is proposed. This is applied to quarterly U.S. data from 1970 to 2011. Over this period the official credit rating of U.S. Treasury securities has been of the highest quality. In contrast, the model-based measure...

Persistent link: https://www.econbiz.de/10011084723

Sovereign risk and belief-driven fluctuations in the euro area

Corsetti, Giancarlo; Kuester, Keith; Meier, André; … - C.E.P.R. Discussion Papers - 2013

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this "sovereign risk channel." The model is calibrated to the euro area...

Persistent link: https://www.econbiz.de/10011084472

The Market for OTC Derivatives

Atkeson, Andrew; Eisfeldt, Andrea L.; Weill, Pierre-Olivier - C.E.P.R. Discussion Papers - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the-counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10011083473

Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency

Bekkour, Lamia; Jin, Xisong; Lehnert, Thorsten; … - C.E.P.R. Discussion Papers - 2012

In this paper, we empirically investigate the impact of the credit risk of Eurozone member countries on the stability …

Persistent link: https://www.econbiz.de/10011084233

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements

Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004

This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-02. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnormal...

Persistent link: https://www.econbiz.de/10005656462

Insider Trading in Credit Derivatives

Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...

Persistent link: https://www.econbiz.de/10005666591