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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Antonakakis, Nikolaos; Vergos, Konstantinos - Volkswirtschaftliche Fakultät, … - 2012
In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the …
Persistent link: https://www.econbiz.de/10011114510
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The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
Santos, Carlos - Volkswirtschaftliche Fakultät, … - 2011
conditional quantiles of the implied default probability distribution. Finally, Fisher’s Z statistic is used to relate bond …
Persistent link: https://www.econbiz.de/10009132739
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Stock markets in eurozone countries with highest oublic debt
Kulhanek, Lumir - Volkswirtschaftliche Fakultät, … - 2013
In this paper, first, we will take notice of the development of the stock markets in six euro area countries with highest public debt: Greece, Italy, Portugal, Ireland, Belgium, and Spain. Subsequently, a comparison of returns and volatility will be made with the development of selected...
Persistent link: https://www.econbiz.de/10011071619
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The Euro Area sovereign debt crisis: Some implications of its systemic dimension
Pessoa, Argentino - Volkswirtschaftliche Fakultät, … - 2011
After the beginning of the euro area, countries in its periphery engaged in weighty borrowing from foreign private investors, allowing domestic spending to outpace incomes. Now, these countries face debt crises reflecting a loss of creditor confidence in the sustainability of their finances from...
Persistent link: https://www.econbiz.de/10009370831
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Was there a "Greenspan conundrum" in the Euro area ?
Lamé, Gildas - Volkswirtschaftliche Fakultät, … - 2013
dynamics of the pricing factors, thus providing more accurate estimates of the term premium incorporated into the Eurozone …-à-vis the short rate in contrast with the Expectation Hypothesis. The Euro-area bond market appears to have gone through its own … "Greenspan conundrum".At least three "conundra" episodes can be singled out in the Eurozone between January 1999 and August 2008 …
Persistent link: https://www.econbiz.de/10011108613
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A simulation model of public debt sustainability
Albu, Lucian-Liviu - Volkswirtschaftliche Fakultät, … - 2008
There is a long period since the problem of public debt sustainability captures the attention of economists. However, there is no unanimity concerning an adequate unique sustainability indicator or function generally accepted. Just in this line of elaborating new models and improving...
Persistent link: https://www.econbiz.de/10005617079
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The debt trap: a two-compartment train wreck
Artzrouni, Marc; Tramontana, Fabio - Volkswirtschaftliche Fakultät, … - 2013
We aim to shed light on the debate among policy-makers trying to find prescriptions that will take troubled economies out of their debt trap. We do this with a highly stylized two-compartment dynamic model consisting of the stocks of money in Government and Society. The dynamics of the system...
Persistent link: https://www.econbiz.de/10011110773
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The laffer curve and the debt-growth link in low-income Sub-Saharan African economies
Megersa, kelbesa - Volkswirtschaftliche Fakultät, … - 2014
The study of the link between debt and growth has been full of debates, both in theory and empirics. However, there is a growing consensus that the relationship is sensitive to the level of debt. Our paper tries to address the question of non linearity in the long term relationship between...
Persistent link: https://www.econbiz.de/10011259050
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CDS, bond spread and sovereign debt crisis in peripherial EU
Akdoğu, Serpil Kahraman - Volkswirtschaftliche Fakultät, … - 2012
Central Bank (ECB), if ECB with national central banks take on all responsibility in government bond markets, Euro area could … to adopting Euro. This paper aims to determine the relationship between credit default swap (CDS), bond spread and the … debt ratio of the countries. In this framework, the interaction between CDS and sovereign bond spreads are examined as a …
Persistent link: https://www.econbiz.de/10011260359