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Sovereign Defaults in Court
Schumacher, Julian - 2018
For centuries, defaulting governments were immune from legal action by foreign creditors. This paper shows that this is no longer the case. Building a dataset covering four decades, we find that creditor lawsuits have become an increasingly common feature of sovereign debt markets. The legal...
Persistent link: https://www.econbiz.de/10012925866
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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...
Persistent link: https://www.econbiz.de/10013060538
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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
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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
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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
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Debt Rule Design in Theory and Practice : The SGP's Debt Benchmark Revisited
Hauptmeier, Sebastian - 2020
This paper is linked to two debates on fiscal policies: first, the implications of low interest-growth differentials for debt sustainability and, second, the reform of the EU fiscal governance framework. In both debates the choice of government debt anchor and the speed of adjustment take centre...
Persistent link: https://www.econbiz.de/10012840203
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Drivers of European Public Debt Management
2020
This study analyses the choice of government debt managers in the euro area between issuing short‐term or long‐term debt over the period 1992‐2017. Debt managers increased short‐term debt issuance in response to higher interest rate spreads and to rising government debt, notably in...
Persistent link: https://www.econbiz.de/10012829297
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Restructuring Sovereign Bonds : Holdouts, Haircuts and the Effectiveness of Cacs
Schumacher, Julian - 2020
Sovereign debt crises are difficult to solve. This paper studies the “holdout problem”, meaning the risk that creditors refuse to participate in a debt restructuring. We document a large variation in holdout rates, based on a comprehensive new dataset of 23 bond restructurings with external...
Persistent link: https://www.econbiz.de/10012844060
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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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The Invisible Hand of the Government : 'Moral Suasion' During the European Sovereign Debt Crisis
Ongena, Steven - 2016
Sovereign debt crisis, domestic banks in fiscally stressed countries were considerably more likely than foreign banks to increase their holdings of domestic sovereign bonds in months with relatively high domestic sovereign bond issuance. This effect is stronger for state‐owned banks and for...
Persistent link: https://www.econbiz.de/10012984578