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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V. - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German government bond returns, a position that generated...
Persistent link: https://www.econbiz.de/10013082158
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Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis
Aizenman, Joshua - 2013
spreads by about 45 basis points, on average, for EU countries. However, the association between credit rating changes and … now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non-EU …
Persistent link: https://www.econbiz.de/10013080412