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Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis
Aizenman, Joshua - 2013
the including credit "outlook" or "watch" signals by credit rating agencies. In addition, contagion from rating downgrades …
Persistent link: https://www.econbiz.de/10012459536
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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial …
Persistent link: https://www.econbiz.de/10012458098
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When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
Bai, Jennie - 2012
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...
Persistent link: https://www.econbiz.de/10012460062
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2013
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 … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …
Persistent link: https://www.econbiz.de/10012459921
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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/10012458679
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Fundamentals and Sovereign Risk of Emerging Markets
Aizenman, Joshua - 2013
We empirically assess the relative importance of various economic fundamentals in accounting for the sovereign credit default swap (CDS) spreads of emerging markets during 2004-2012, which encompasses the global financial crisis of 2008-2009. Inflation, state fragility, external debt, and...
Persistent link: https://www.econbiz.de/10012459699
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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/10012457212
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Sovereign CDS and Bond Pricing Dynamics in the Euro-area
Palladini, Giorgia - 2011
This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...
Persistent link: https://www.econbiz.de/10012461071
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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/10012458093
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Sovereign Debt
Eaton, Jonathan - 1995
We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose? and (3) How might debt be restructured to reduce...
Persistent link: https://www.econbiz.de/10012473755