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Structured Eurobonds
Bauer, Christian; Herz, Bernhard; Hild, Alexandra - 2011
This paper develops a market-based approach to implement so called Eurobonds, i.e. common sovereign debt securities of … Eurobonds with varying risk and rating (tranching). By pooling and tranching the default risk is concentrated in one part of the … default. By contrast to propositions on Eurobonds made so far, our proposal has one major advantage: All EMU countries can …
Persistent link: https://www.econbiz.de/10010327770
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Europe Needs More than a Capital Markets Union: Focus on the Integration of Euro Area Sovereign Debt Markets
Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20
With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...
Persistent link: https://www.econbiz.de/10012054624
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States, Banks, and the Financing of the Economy: Fiscal Policy and Sovereign Risk Perspectives
Balling, Morten; Egger, Peter; Gnan, Ernest; Weber, Axel A. - 2013
On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...
Persistent link: https://www.econbiz.de/10011689958
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Análisis de la eficiencia en el mercado de eurobonos antes y durante la crisis económica (2004-2012)
Guaita Martínez, José Manuel; Martí Selva, Maria Luisa; … - In: Journal of Innovation & Knowledge (JIK) 1 (2016) 2, pp. 81-90
consisting of 1,999 Eurobonds, the results show that in the years before the crisis starts the efficient issues volume was bigger …
Persistent link: https://www.econbiz.de/10011946708
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Underwriter competition and gross spreads in the eurobond market
Kollo, Michael G. - 2005
underwriter and underwriter gross spread. We find a significant but declining association between the home market of the Eurobond’s … also carry significantly lower underwriter gross spreads vis-à-vis other Eurobonds. The amalgamation of the European …
Persistent link: https://www.econbiz.de/10011604596
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Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps
Calice, Giovanni; Miao, RongHui; Štěrba, Filip; … - 2014
This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...
Persistent link: https://www.econbiz.de/10011605762
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Hedge funds and their implications for financial stability
Garbaravicius, Tomas; Dierick, Frank - 2005
The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...
Persistent link: https://www.econbiz.de/10011606186
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The home bias in sovereign ratings
Fuchs, Andreas; Gehring, Kai - 2015
Credit rating agencies are frequently criticized for producing biased sovereign ratings. This article discusses how the home country of rating agencies could affect rating decisions as a result of political economy influences and cultural distance. Using data from nine agencies based in six...
Persistent link: https://www.econbiz.de/10011282625
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Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?
Orlowski, Lucjan T. - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...
Persistent link: https://www.econbiz.de/10011430817
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10010293995