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Sovereign Debt Markets in Turbulent Times : Creditor Discrimination and Crowding-Out Effects

Broner, Fernando - 2013

In 2007, countries in the euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and,...

Persistent link: https://www.econbiz.de/10013072346

Inspecting the Mechanism : Leverage and the Great Recession in the Eurozone

Martin, Philippe - 2014

We provide a comprehensive account of the dynamics of eurozone countries from 2000 to 2012. We analyze private leverage … government spending, and sudden stops. We then ask how eurozone countries would have fared with different policies. We find that …

Persistent link: https://www.econbiz.de/10013045645

Contagion in the European Sovereign Debt Crisis

Glover, Brent - 2014

We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...

Persistent link: https://www.econbiz.de/10013045650

Stock Volatility During the Recent Financial Crisis

Schwert, G. William - 2011

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

Persistent link: https://www.econbiz.de/10013126204

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

Momentum Crashes

Daniel, Kent D. - 2015

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

Persistent link: https://www.econbiz.de/10013032704

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

A Surplus of Ambition : Can Europe Rely on Large Primary Surpluses to Solve its Debt Problem?

Eichengreen, Barry - 2014

IMF forecasts and the EU's Fiscal Compact foresee Europe's heavily indebted countries running primary budget surpluses of as much as 5 percent of GDP for as long as 10 years in order to maintain debt sustainability and bring their debt/GDP ratios down to the Compact's 60 percent target. We show...

Persistent link: https://www.econbiz.de/10013050287

External and Public Debt Crises

Arellano, Cristina - 2015

The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...

Persistent link: https://www.econbiz.de/10013017501

Government Debt and Banking Fragility : The Spreading of Strategic Uncertainty

Cooper, Russell - 2013

This paper studies the interaction of government debt and financial markets. Both markets are fragile: excessively responsive to fundamentals and prone to strategic uncertainty. This interaction, termed a ‘diabolic loop', is driven by government choice to bail out banks and the resulting...

Persistent link: https://www.econbiz.de/10013077972

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