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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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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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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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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
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Linking credit risk premia to the equity premium
Berg, Tobias; Kaserer, Christoph - 2008
Although the equity premium is - both from a conceptual and empirical perspective - a widely researched topic in finance, there is still no consensus in the academic literature about its magnitude. In this paper, we propose a different estimation method which is based on credit valuations. The...
Persistent link: https://www.econbiz.de/10010305726
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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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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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Exploring the CDS-Bond Basis
De Wit, Jan - 2006
. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …
Persistent link: https://www.econbiz.de/10011506625
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
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 test how the crisis has affected market pricing. Then we analyse the … ‘basis’ between CDS spreads and bond spreads and which factors drive pricing differences between the two markets. Our first …
Persistent link: https://www.econbiz.de/10011605317
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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