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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

Fiscal discoveries and sudden decouplings

Catão, Luis; Fostel, Ana; Rancière, Romain - 2013

Persistent link: https://www.econbiz.de/10009724161

What happened in Cyprus?

Michaelides, Alexander G. - 2014

Persistent link: https://www.econbiz.de/10010363246

Saving the euro : self-fulfilling crisis and the 'Draghi put'

Miller, Marcus; Zhang, Lei - 2014

Persistent link: https://www.econbiz.de/10010363256

Debt sustainability and the terms of official support

Corsetti, Giancarlo; Erce, Aitor; Uy, Timothy - 2018

Persistent link: https://www.econbiz.de/10012037784

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