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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 … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …

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

Two Monetary Tools: Interest Rates and Haircuts

Ashcraft, Adam; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2010

We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the...

Persistent link: https://www.econbiz.de/10008642875

Capital, Trust and Competitiveness in the Banking Sector

Gehrig, Thomas - C.E.P.R. Discussion Papers - 2013

This note critically assesses the Basel reform process of capital regulation. It highlights the political nature of this process and argues that the absence of clearly spelled-out societal objectives has been detrimental in furthering stability and soundness of the banking systems in the run-up...

Persistent link: https://www.econbiz.de/10011083581

The Role of Central Banks in Financial Stability: How has it changed?

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2012

The roles of central banks in the advanced economies have expanded and multiplied since the beginning of the crisis. The conventional monetary policy roles - setting interest rates in the pursuit of macroeconomic stability and acting as lender of last resort and market maker of last resort to...

Persistent link: https://www.econbiz.de/10011083725

Three Sisters: The Interlinkage between Sovereign Debt, Currency and Banking Crises

Eijffinger, Sylvester C W; Karatas, Bilge - C.E.P.R. Discussion Papers - 2013

The sovereign debt default and the linkages from banking and currency crisis have been rarely explored in the crisis literature. This study attempts to dive into this unexplored area by applying panel data binary choice model on a sample with 20 emerging countries having monthly observations for...

Persistent link: https://www.econbiz.de/10011084100

The Euro Area Crisis: Politics over Economics

Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2014

This paper explores the dominant role of politics in decisions made by euro area governments during the crisis. Decisions that appear to have been driven by local political considerations to the detriment of the euro area as a whole are discussed. The domination of politics over economics has...

Persistent link: https://www.econbiz.de/10011084126

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

Should We Worry About the Fiscal Numerology of Maastricht?

Buiter, Willem H. - C.E.P.R. Discussion Papers - 1992

The paper reviews and evaluates in a non-technical manner the economic and political arguments for and against the two fiscal convergence criteria written into the Treaty of Maastricht and its Protocols. In order to qualify for full membership in Economic and Monetary Union (EMU), net general...

Persistent link: https://www.econbiz.de/10005123517

Four Essays and a Funeral: Budgetary Arithmetic under the Maastricht Treaty

Hughes Hallett, Andrew; McAdam, Peter - C.E.P.R. Discussion Papers - 1996

This paper analyses four popular themes in the debate about the transition to monetary union: (a) fiscal discipline creating gains in credibility; (b) there being perceptible risk of a bail out for the highly indebted countries; (c) budgets being successfully cut to the required 3% limit in...

Persistent link: https://www.econbiz.de/10005662162

Money, credit, monetary policy and the business cycle in the euro area

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2012

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are...

Persistent link: https://www.econbiz.de/10011083763

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