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The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

De Santis, Roberto A. - 2012

from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all … key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in … Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy …

Persistent link: https://www.econbiz.de/10013111942

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

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...

Persistent link: https://www.econbiz.de/10013061742

The Dynamics of Spillover Effects during the European Sovereign Debt Crisis

Alter, Adrian - 2013

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...

Persistent link: https://www.econbiz.de/10013081460

The Geography of the Great Rebalancing in Euro Area Bond Markets During the Sovereign Debt Crisis

Beck, Roland - 2015

During the sovereign debt crisis investors rebalanced out of stressed and into non-stressed euro area countries, thereby contributing to the tensions in euro area financial markets. This paper examines the geographical pattern of this great rebalancing. Specifically, we test whether euro area...

Persistent link: https://www.econbiz.de/10013016950

The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market

Beetsma, Roel M. W. J. - 2014

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence …

Persistent link: https://www.econbiz.de/10013060538

Stressed Interbank Markets : Evidence from the European Financial and Sovereign Debt Crisis

Frutos de Andres, Juan Carlos - 2016

This paper documents stress in the unsecured overnight interbank market in the euro area over the course of the financial and sovereign debt crisis in Europe. We find that stress i) leads some banks to borrow in the market at rates that are higher than the rate of the marginal lending facility...

Persistent link: https://www.econbiz.de/10012987868

Price Effects of Sovereign Debt Auctions in the Euro-zone : The Role of the Crisis

Beetsma, Roel M. W. J.; Giuliodori, Massimo; De Jong, Frank - 2021

Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...

Persistent link: https://www.econbiz.de/10013315717

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

Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021

In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...

Persistent link: https://www.econbiz.de/10013315399

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