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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...
Persistent link: https://www.econbiz.de/10009731982
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The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?
Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016
’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in …
Persistent link: https://www.econbiz.de/10011548057
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The effects of government bond purchases on leverage constraints of banks and non-financial firms
Kühl, Michael - 2016
economy in which loans priced at par dominate in banks' balance sheets - as a reflection of the euro area's structure - the …
Persistent link: https://www.econbiz.de/10011541061
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Estimating the effects of the Eurosystem's asset purchase programme at the country level
Mandler, Martin; Scharnagl, Michael - 2020
We assess the macroeconomic effects of the Eurosystem's asset purchases on the four largest euro area economies using … identification assumptions mainly on euro area aggregate financial variables and on country averages of output and price responses …
Persistent link: https://www.econbiz.de/10012222564
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time …
Persistent link: https://www.econbiz.de/10012222610
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …
Persistent link: https://www.econbiz.de/10011855295
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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The fire-sale channels of universal banks in the European sovereign debt crisis
Bagattini, Giulio; Fecht, Falko; Weber, Patrick - 2019
retail customers for the period 2009-2016 at the security level, we find evidence that banks sold off risky euro …
Persistent link: https://www.econbiz.de/10012125233
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Dispelling the shadow of fiscal dominance? : fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic
Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021 - This version: June 2021
bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU … fiscal level - has been more crucial for the stabilization of euro sovereign bond markets in the crisis environment of the …
Persistent link: https://www.econbiz.de/10012534642