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Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis

Beltratti, Andrea - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Persistent link: https://www.econbiz.de/10013022926

Linkages Across Sovereign Debt Markets

Arellano, Cristina - 2013

We develop a multicountry model in which default in one country triggers default in other countries. Countries are linked to one another by borrowing from and renegotiating with common lenders with concave payoffs. A foreign default increases incentives to default at home because it makes new...

Persistent link: https://www.econbiz.de/10013074284

Political Risk Spreads

Bekaert, Geert - 2014

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions,...

Persistent link: https://www.econbiz.de/10013061340

The Complexity of Liquidity : The Extraordinary Case of Sovereign Bonds

Boudoukh, Jacob - 2016

behavior of bond spreads of the U.S. and Germany versus Belgium, Spain and Italy during the Eurozone crisis period …

Persistent link: https://www.econbiz.de/10012984107

Vulnerable Banks

Greenwood, Robin - 2012

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in contagion. We propose a simple framework that accounts for...

Persistent link: https://www.econbiz.de/10013097784

Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts

Delatte, Anne-Laure - 2014

Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...

Persistent link: https://www.econbiz.de/10013056598

Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis

Aizenman, Joshua - 2013

now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non … in GIIPS to other euro countries is not evident once own-country credit rating changes are taken into account …

Persistent link: https://www.econbiz.de/10013080412

Credit Risk in the Euro Area

Gilchrist, Simon - 2014

We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads … on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched …-financial and financial firms increasingly reflect national rather than euro area financial conditions. Consistent with this view …

Persistent link: https://www.econbiz.de/10013055501

Granular Instrumental Variables

Gabaix, Xavier; Koijen, Ralph S. J. - 2022

yield shocks” transmit across countries in the Eurozone. We sketch how GIVs could be useful to estimate a host of other …

Persistent link: https://www.econbiz.de/10014089927

A Fiscal Theory of Sovereign Risk

Uribe, Martín - 2021

This paper presents a fiscal theory of sovereign risk and default. Under certain monetary-fiscal regimes, the risk of default, and thus the emergence of sovereign risk premia, are inevitable. The paper characterizes the equilibrium processes of the sovereign risk premium and the default rate...

Persistent link: https://www.econbiz.de/10013240546