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Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...
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We investigate default clusters and reveal credit risk contagion in a data set with over four million German auto loans … macroeconomic effects alone. In a second step, we model contagion effects directly and show that the default of one auto loan can … portfolios, rating agencies, and regulators, as they indicate that contagion effects should be considered when assessing credit …
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Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...
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the Eurozone, Germany's national central bank is not allowed to buy sovereign securities on its own account. The German … the Eurozone and that it makes sense to consolidate central bank and government(s) even when a government is not issuing a …
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