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Have Euro area government bond risk premia converged to their common state?

Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008

10 year government bond spreads of Belgium, France, Italy, and the Netherlands versus Germany over the period 1991 … euro implying that the efficiency of the euro area government bond markets under consideration has increased. Full …

Persistent link: https://www.econbiz.de/10011374402

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Price effects of sovereign debt auctions in the Euro-zone : the role of the crisis

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2013

Persistent link: https://www.econbiz.de/10010191221

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

Persistent link: https://www.econbiz.de/10015408438

When is quantitative easing effective?

Hoermann, Markus; Schabert, Andreas - 2010 - This version: December 22, 2010

We present a simple macroeconomic model with open market operations that allows examining the effects of quantitative and credit easing. The central bank controls the policy rate, i.e. the price of money in open market operations, as well as the amount and the type of assets that are accepted as...

Persistent link: https://www.econbiz.de/10011382672

Fiscal deficits, financial fragility, and the effectiveness of government policies

Kirchner, Markus; Wijnbergen, Sweder van - 2012

Persistent link: https://www.econbiz.de/10010191012

Default risk premia on government bonds in a quantitative macroeconomic model

Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009

Persistent link: https://www.econbiz.de/10003913174

Default risk premia on government bonds in a quantitative macroeconomic model

Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009

reflect expectations of this event. There may exist multiple bond prices compatible with a rational expectations equilibrium …

Persistent link: https://www.econbiz.de/10011379436

Debt sustainability when r - g < 0 : no free lunch after all

Wijnbergen, Sweder van; Olijslagers, Stan; Vette, Nander de - 2020

Interest rates on public debt have for several years now fallen short of GDP growth rates in much of the Western world. In his presidential address to the AEA Blanchard argued that this implies that there are no fiscal costs to high debt (Blanchard, 2019).1 In this paper we argue that the safe...

Persistent link: https://www.econbiz.de/10012317450

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587