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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...
Persistent link: https://www.econbiz.de/10013052936
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Antonakakis, Nikolaos - 2014
In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...
Persistent link: https://www.econbiz.de/10013058578
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2015
We study market perception of sovereign credit risk in the Euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate market implied measures of the probability of default (PD) and of the loss given default (LGD). We find that separate...
Persistent link: https://www.econbiz.de/10013017354
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Putting the 'C' into Crisis : Contagion, Correlations and Copulas on EMU Bond Markets
Philippas, Dionisis - 2015
We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France. We use a framework that contains two procedures, a spillover regime/switching model...
Persistent link: https://www.econbiz.de/10013036128
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Quantifying the transmission of European sovereign default risk
Dumitru, Ana-Maria H.; Holden, Tom D. - 2019
We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...
Persistent link: https://www.econbiz.de/10012063227
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Integration of Chinese and Russian Stock Markets with World Markets : National and Sectoral Perspectives
Komarek, Lubos - 2014
degree of stock market integration between Russia and China as well as between them and the United States, the euro area and … integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008 …/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the …
Persistent link: https://www.econbiz.de/10013066581
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The Two-Pillar Policy for the RMB
Jermann, Urban J. - 2019
We document stylized facts about China's recent exchange rate policy for its currency, the Renminbi (RMB). Our …
Persistent link: https://www.econbiz.de/10012889843
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The impact of Brexit on the stock markets of the greater China region
Morales, Lucía; Andréosso-O'Callaghan, Bernadette - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was … insignificant, except for Hong Kong. Overall, China’s stock markets do not seem to be panicking and overreacting to unfolding events …
Persistent link: https://www.econbiz.de/10011883261
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Who leads financial markets?
Weber, Enzo (contributor) - 2007
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...
Persistent link: https://www.econbiz.de/10003633556
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Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno; Morana, Claudio - 2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10003826033