Showing 1 - 10 of 633
Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study …% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain …
Persistent link: https://www.econbiz.de/10012480098
-study approach and yields on euro-denominated sovereign bonds, dollar-denominated sovereign bonds, corporate bonds, and corporate CDS …
Persistent link: https://www.econbiz.de/10012453728
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/10012457516
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/10012458623
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/10012459536
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/10012459623
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10012459921
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/10012460123
six Euro-area countries over the period 2004-2011. As a first step, the supposed non stationarity of the two series is …
Persistent link: https://www.econbiz.de/10012461071
The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the … euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the benchmark' in … complex pattern of benchmark status in euro-area government bonds …
Persistent link: https://www.econbiz.de/10012469626