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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
the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their …
Persistent link: https://www.econbiz.de/10011888333
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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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Banks and sovereign risk : a granular view
Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...
Persistent link: https://www.econbiz.de/10009787584
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, … - 2013
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European …
Persistent link: https://www.econbiz.de/10010128764
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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
The paper analyses how the IMF brought its experience gained in emerging market sovereign debt crises in the troika’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in the 2000s. We examine subsequent changes in the...
Persistent link: https://www.econbiz.de/10011548057
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The political economy of euro area sovereign debt restructuring
Heinemann, Friedrich - 2021
debate on a viable constitution for the European Monetary Union (EMU). Yet the topic seems to be taboo in official reform … contributions to the debate. Against this backdrop, the article identifies the SDRM interests of key players, including the European … Commission, the European Parliament, the European Central Bank and national governments. The empirical section takes advantage of …
Persistent link: https://www.econbiz.de/10012421950
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk … ; eurozone economies ; FIGARCH ; dynamic conditional correlation …
Persistent link: https://www.econbiz.de/10009731982
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Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
statistics alongside stylized facts during the European sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10010457126
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The fire-sale channels of universal banks in the European sovereign debt crisis
Bagattini, Giulio; Fecht, Falko; Weber, Patrick - 2019
European sovereign debt crisis. Overall, this enabled banks with affiliated mutual funds to sell off larger amounts of their … customers portfolio and their affiliated funds as liquidity provider when they sell off their risk bonds without paying the … funds the adequate liquidity premium. On the one hand, this points to a severe conflict of interest between banks' own …
Persistent link: https://www.econbiz.de/10012125233
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Government solvency : revisiting some EMU countries
Arghyrou, Michael; Luintel, Kul - 2002
Persistent link: https://www.econbiz.de/10001730341