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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …
Persistent link: https://www.econbiz.de/10013061742
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What “hides” behind sovereign debt ratings?
Afonso, António; Gomes, Pedro; Rother, Philipp - 2007
In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main …
Persistent link: https://www.econbiz.de/10011604757
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What 'Hides' Behind Sovereign Debt Ratings?
Afonso, António - 2007
In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main …
Persistent link: https://www.econbiz.de/10012778038
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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data
Afonso, António - 2011
-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially from lower rated countries to higher rated …
Persistent link: https://www.econbiz.de/10013124928
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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … for portfolio returns when taking into account sovereign credit ratings' information for volatility modelling, with …
Persistent link: https://www.econbiz.de/10013057674
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Sovereign Risk and Bank Risk-Taking
Ari, Anil - 2016
In European countries recently hit by a sovereign debt crisis, the share of domestic sovereign debt held by the national banking system has sharply increased, raising issues in their economic and financial resilience, as well as in policy design. This paper examines these issues by analyzing the...
Persistent link: https://www.econbiz.de/10012993780
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Bank Exposures and Sovereign Stress Transmission
Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2021
Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the euro crisis. First, the publicly owned, recently bailed out and less strongly capitalized banks reacted to...
Persistent link: https://www.econbiz.de/10013315487
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10011605159
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Interdependence and contagion in global asset markets
Beirne, John; Gieck, Jana - 2012
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …
Persistent link: https://www.econbiz.de/10011605525
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Disentangling the bond-CDS nexus: a stress test model of the CDS market
Vuillemey, Guillaume; Peltonen, Tuomas A. - 2013
-out netting considerably reduces the extent to which contagion may occur. …
Persistent link: https://www.econbiz.de/10011605644