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The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09
Ejsing, Jacob; Lemke, Wolfgang - 2009
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...
Persistent link: https://www.econbiz.de/10011605173
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10010316042
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Common factors in credit defaults swaps markets
Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10010318764
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When is there a strong transfer risk from the sovereigns to the corporates?
Bai, Jennie; Wei, Shang-jin - 2012
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...
Persistent link: https://www.econbiz.de/10010333592
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...
Persistent link: https://www.econbiz.de/10011605317
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What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - 2010
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011506710
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - 2012
transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …
Persistent link: https://www.econbiz.de/10010311789
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Rules and risk in the euro area
Iara, Anna; Wolff, Guntram B. - 2011
With a unique data set summarizing the quality of rules-based fiscal governance in EU member states, we show that stronger fiscal rules in euro area members reduce sovereign risk premia, in particular in times of market stress. To do so, we develop a model of sovereign spreads that are...
Persistent link: https://www.econbiz.de/10010317343
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Fiscal spillovers in the Euro area
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...
Persistent link: https://www.econbiz.de/10010280818