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The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market
Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - 2014
We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …
Persistent link: https://www.econbiz.de/10011605674
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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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The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets
Driessen, Joost; Nijman, Theo E.; Simon, Zorka - 2017
Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...
Persistent link: https://www.econbiz.de/10011730628
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Sovereign bond yield spreads: a time-varying coefficient approach
Bernoth, Kerstin; Erdogan, Burcu - 2010
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply …
Persistent link: https://www.econbiz.de/10010303780
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Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin
Bernoth, Kerstin; Erdogan, Burcu - In: DIW Wochenbericht 77 (2010) 51/52, pp. 12-18
Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...
Persistent link: https://www.econbiz.de/10011602283
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Fiscal and monetary policy determinants of the Eurozone crisis and its resolution
Dabrowski, Marek - 2012
quasi-fiscal rescue operations can undermine this consensus and lead to a disintegration of the Eurozone. There are also …
Persistent link: https://www.econbiz.de/10011430901
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Zehn Argumente gegen Quantitative Easing und den Ankauf von Staatsanleihen durch das Eurosystem
Jost, Thomas; Seitz, Franz - In: ifo Schnelldienst 68 (2015) 04, pp. 19-20
Am 22. Januar 2015 hat der EZB-Rat ein erweitertes Programm zum Ankauf von Vermögenswerten, das sogenannte »Quantitative Easing«, beschlossen. Thomas Jost, Hochschule Aschaffenburg, und Franz Seitz, Ostbayerische Technische Hochschule Weiden, kommentieren diese Entscheidung und ihre Konsequenzen.
Persistent link: https://www.econbiz.de/10011693780
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Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?
Boysen-Hogrefe, Jens - 2012
In the aftermath of the Great Recession and during the debt crisis in the euro area yields on German federal bonds have been exceptionally low. This analysis tries to calculate the profits that the federal government makes due to the low yields. The interest payments that are due to emissions of...
Persistent link: https://www.econbiz.de/10010287008
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Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
Bank, Matthias; Kupfer, Alexander; Sendlhofer, Rupert - 2011
We argue that current sovereign debt management lacks important incentives for governments and politicians to fulfill it in a sustainable and long-term orientated way. This paper outlines that the mechanisms to solve sovereign debt problems within the EMU are not only missing the right...
Persistent link: https://www.econbiz.de/10010294841
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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