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Ari, Anil - 2018

I propose a dynamic general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and slow recovery from crises. When banks' investment decisions are not contractible, depositors form expectations about bank risk-taking and demand a...

Persistent link: https://www.econbiz.de/10011959253

Beyond spreadsmeasuring sovereign market stress in the euro area

Garcia de Andoain, Carlos; Kremer, Manfred - 2018

In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...

Persistent link: https://www.econbiz.de/10011921004

Sovereign credit ratings and financial markets linkages : application to European data

Afonso, António; Furceri, Davide; Gomes, Pedro - 2011

-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially from lower rated countries to higher rated … countries; and persistence effects for recently downgraded countries. - Credit ratings ; sovereign yields ; rating agencies …

Persistent link: https://www.econbiz.de/10009160019

Spillovers among sovereign debt markets : identification by absolute magnitude restrictions

De Santis, Roberto A.; Zimic, Srečko - 2017

This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries,...

Persistent link: https://www.econbiz.de/10011647980

Understanding sovereign rating movements in euro area countries

Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2017

This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … explained by economic developments. The estimated model re-produces historical ratings by using a small number of economic and … Fitch in their assignment of sovereign ratings. Our results suggest that the size of the downgrades observed since the start …

Persistent link: https://www.econbiz.de/10011637529

Government debt and banking fragility : the spreading of strategic uncertainty

Cooper, Russell W.; Nikolov, Kalin - 2018

This paper studies the interaction of government debt and financial markets. This interaction, termed a "diabolic loop", is driven by government choice to bail out banks and the resulting incentives for banks to hold government debt rather than self-insure through equity buffers. We highlight...

Persistent link: https://www.econbiz.de/10011928914

Sovereign credit ratings and financial markets linkages

Afonso, António; Furceri, Davide; Gomes, Pedro - 2011

-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially from lower rated countries to higher rated …

Persistent link: https://www.econbiz.de/10009640836

Insurers' investment strategies : pro- or countercyclical?

Rousová, Linda; Giuzio, Margherita - 2019

Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views....

Persistent link: https://www.econbiz.de/10012034502

Government guarantees and the two-way feedback between banking and sovereign debt crises

Leonello, Agnese - 2017

This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers...

Persistent link: https://www.econbiz.de/10011648311

Fiscal multipliers with financial fragmentation risk and interactions with monetary policy

Darracq Pariès, Matthieu; Müller, Georg; … - 2020

We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary policy can support the macroeconomic transmission of fiscal interventions. We employ a DSGE model with financial frictions whereby the interplay of corporate, banks and...

Persistent link: https://www.econbiz.de/10012241104