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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
Greece. Hence, we argue that the inclusion of the IMF in Europe’s crisis fighting did not completely deliver what had been …
Persistent link: https://www.econbiz.de/10011548057
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The political economy of euro area sovereign debt restructuring
Heinemann, Friedrich - 2021
The establishment of a sovereign debt restructuring mechanism (SDRM) is one of the important issues in the academic 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...
Persistent link: https://www.econbiz.de/10012421950
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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
-sale contagion depends on the organizational structure of the financial sector. …
Persistent link: https://www.econbiz.de/10012125233
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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 sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10010128764
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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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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 …-parametric model imply persistent behavior in the volatility of changes for Greece, Portugal, Ireland, Italy, Spain, and Belgium … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk …
Persistent link: https://www.econbiz.de/10009731982
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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
We use event study regressions to compare the impact of EU monetary versus fiscal policy announcements on government 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...
Persistent link: https://www.econbiz.de/10012534642
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Doom loop, trilemma, and moral hazard : which narrative of the banking union did stock market investors buy?
Körner, Tobias; Papageorgiou, Michael - 2024
We analyze the impact of the announcement of the banking union on stock market returns of euro area banks against the backdrop of three commonly held views of the banking union. We document positive individual abnormal returns for most banks. Abnormal returns are large and positive on average,...
Persistent link: https://www.econbiz.de/10015051532