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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...
Persistent link: https://www.econbiz.de/10013052936
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Bank Interest Rate Setting in the Euro Area During the Great Recession
Camba-Mendez, Gonzalo - 2016
This paper sheds light on how recent financial tensions in the euro area were ultimately reflected in bank interest …, and reduced the volatility of money market rates, this paper shows that they were also channelled to bank rates. Second … financing has important implications for bank rate setting …
Persistent link: https://www.econbiz.de/10012982915