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The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10010270543
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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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International capital flow pressures
Goldberg, Linda S.; Krogstrup, Signe - 2018
This paper presents a new measure of capital flow pressures in the form of a recast exchange market pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is...
Persistent link: https://www.econbiz.de/10011942779
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What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Dötz, Niko; Fischer, Christoph - 2010
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …, the rescue of Bear Stearns in March 2008 seems to mark a change in market perceptions of sovereign bond risk. The …
Persistent link: https://www.econbiz.de/10010300392
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Determinants of government bond spreads in the Euro Area: in good times as in bad
Aßmann, Christian; Boysen-Hogrefe, Jens - 2009
Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond … find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in …
Persistent link: https://www.econbiz.de/10010265252
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Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
Manganelli, Simone; Wolswijk, Guido - 2007
reinforce each other. Finally, we provide strong empirical evidence that spreads depend on the ratings of the underlying bond …
Persistent link: https://www.econbiz.de/10011604791
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …
Persistent link: https://www.econbiz.de/10010302537
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Foreign capital and Finland: central government's firstperiod of reliance on international financial markets 1862-1938
Arola, Mika - 2006
liberal world financial order at the turn of the millennium.The main aim is to analyse the credit risk associated with the … state and its determination by evaluating the world financial market centres' perception of Finland.By doing this, the study ….Political confrontations in Finland and, in particular, in Russia and the turbulence of the world financial system prevented the return of this …
Persistent link: https://www.econbiz.de/10012148901
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Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
Dötz, Niko - 2007
This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default … visibly during the turbulence on the credit markets in early 2005 in favour of that of the bond market. …
Persistent link: https://www.econbiz.de/10010295927