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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

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

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

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to the German Bund have been characterized by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September...

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

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 Euro Exchange Rate During the European Sovereign Debt Crisis - Dancing to Its Own Tune?

Ehrmann, Michael - 2013

makers than previously feared. Still, there are instances where exchange rate volatility was increasing in response to news …

Persistent link: https://www.econbiz.de/10013083696

Firm or Bank Weakness? Access to Finance Since the European Sovereign Debt Crisis

Corbisiero, Giuseppe - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank characteristics. This allows us to study simultaneously the role that bank and firm weakness had in the credit reduction observed in the euro area during the sovereign debt...

Persistent link: https://www.econbiz.de/10012844332

Wealth Effect on Consumption During the Sovereign Debt Crisis : Households Heterogeneity in the Euro Area

Garbinti, Bertrand - 2020

This paper studies the heterogeneity of the marginal propensity to consume out of wealth (MPC) both across and within countries. We estimate the MPC based on a cross-country harmonized household level dataset which combines surveys on wealth, income and consumption. We use panel regressions and...

Persistent link: https://www.econbiz.de/10012844559

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 … newsflash, on the dependence structure. More news raises the volatility of interest rates of financially distressed countries …

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

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

Government Debt and Banking Fragility : The Spreading of Strategic Uncertainty

Cooper, Russell; Nikolov, Kalin - 2021

This paper studies the interaction of government debt and financial markets. This interaction, termed a 'diabolic loop', is driven by government choice to bail out banks and the resulting incentives for banks to hold government debt rather than self-insure through equity buffers. We highlight...

Persistent link: https://www.econbiz.de/10013315387

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