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Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - 2024

-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European …

Persistent link: https://www.econbiz.de/10014486806

On creditor seniority and sovereign bond prices in Europe : conference paper

Steinkamp, Sven; Westermann, Frank - 2013

The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an...

Persistent link: https://www.econbiz.de/10010341164

Hypnosis before wake-up call?! : the revival of sovereign credit risk perception in the EMU-crisis

Bordon, Ingo Gerold; Schmid, Kai D.; Schmidt, Michael - 2014 - This Version: July 2014

This paper qualifies the view of pronounced overpricing of sovereign bonds for the so-called GIIPS countries during the financial crisis. We use annual data for 21 OECD countries from 1980 to 2012. As opposed to related studies, our data set allows us to contrast the pricing of macroeconomic...

Persistent link: https://www.econbiz.de/10010393624

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

Fool the markets? : Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003364216

"Whatever It Takes!" : how tonality of TV-news affected government bond yield spreads during the European debt crisis

Hirsch, Patrick; Feld, Lars P.; Köhler, Ekkehard A.; … - 2024

to identify over 25,000 news on the Eurozone and country-specific economic topics. Our findings emphasize the relevance …

Persistent link: https://www.econbiz.de/10014486807

Fiscal sustainability, fiscal reactions, pitfalls and determinants

Afonso, António; Coelho, José Carlos - 2022

We examine the sustainability of public finances and its determinants for 19 Eurozone countries from 1995 to 2020. We … conclude for the existence of panel cointegration between government revenues and expenditures; primary government balance and …

Persistent link: https://www.econbiz.de/10013162289

Debt stabilization and debt mutualization in a monetary union with endogenous risk premia

Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...

Persistent link: https://www.econbiz.de/10011350136

Self-fulfilling crises in the Eurozone : an empirical test

De Grauwe, Paul; Ji, Yuemei - 2012

We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self … countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios and fiscal space … argue that this can drive member countries of the Eurozone into bad equilibria. We also find evidence that after years of …

Persistent link: https://www.econbiz.de/10009540108

The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...

Persistent link: https://www.econbiz.de/10013285648