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A Role Model for the Conduct of Fiscal Policy? Experiences from Sweden

Flodén, Martin - C.E.P.R. Discussion Papers - 2012

Sweden was hit by a severe macroeconomic crisis in the early 1990s. GDP fell for three consecutive years in 1991-1993, unemployment increased by 9 percentage points, banks had to be nationalized, and public budget deficits exceeded 10 percent of GDP. The recovery was however quick. GDP growth...

Persistent link: https://www.econbiz.de/10011084359

Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets

Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - C.E.P.R. Discussion Papers - 2012

We investigate how "news" affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of the Eurointelligence...

Persistent link: https://www.econbiz.de/10011083333

The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market

Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - C.E.P.R. Discussion Papers - 2014

We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight … news about third countries to the covariance between other country pairs. Bond purchases by the ECB under its Securities …

Persistent link: https://www.econbiz.de/10011084398

Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone

Martin, Philippe; Philippon, Thomas - C.E.P.R. Discussion Papers - 2014

We provide a first comprehensive account of the dynamics of Eurozone countries from the creation of the Euro to the Great recession. We model each country as an open economy within a monetary union and analyze the dynamics of private leverage, fiscal policy and spreads. Our parsimonious model...

Persistent link: https://www.econbiz.de/10011084051

Quantifying the Distortionary Fiscal Cost of ‘The Bailout’

Gomes, Francisco J; Michaelides, Alexander; … - C.E.P.R. Discussion Papers - 2010

We utilize an overlapping generations model with endogenous production and incomplete markets to quantify the distortionary costs associated with financing the increase in government expenditures directed to investments in the private sector in 2008 and 2009 (a.k.a. ‘the bailout’), and its...

Persistent link: https://www.econbiz.de/10008466357

Sovereign Risk Premia in the European Bond Market

Bernoth, Kerstin; Schuknecht, Ludger; von Hagen, Jürgen - C.E.P.R. Discussion Papers - 2004

This Paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest … and debt-service ratio and depend positively on the issuer's relative bond market size. Global investors' attitude towards … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

Persistent link: https://www.econbiz.de/10005123697

Why do governments default, and why don't they default more often?

Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2013

This paper considers the economic and political drivers of sovereign default, focusing on countries rich enough to render sovereign default a ‘won’t pay’ rather than a ‘can’t pay’ phenomenon. Unlike many private contracts, sovereign debt contracts rely almost exclusively on...

Persistent link: https://www.econbiz.de/10011084128

Rare Events, Financial Crises, and the Cross-Section of Asset Returns

Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015

Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for...

Persistent link: https://www.econbiz.de/10011213314

Uncertainty about Government Policy and Stock Prices

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2010

We analyze how changes in government policy affect stock prices. Our general equilibrium model features uncertainty about government policy and a government that has both economic and non-economic motives. The government tends to change its policy after performance downturns in the private...

Persistent link: https://www.econbiz.de/10008553062

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured...

Persistent link: https://www.econbiz.de/10008474510

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