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Measuring financial fragmentation in the euro area corporate bond market
Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-19
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar...
Persistent link: https://www.econbiz.de/10011961260
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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78
credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are … other cases. So the CDS market contains clear and highly useful information on the sovereign risk. …
Persistent link: https://www.econbiz.de/10012436652
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Credit and Liquidity Risks in Euro Area Sovereign Yield Curves
Monfort, Alain - 2011
In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage-free valuation framework involves five factors and two regimes, one of the latter being interpreted as a crisis regime. These common factors and regimes explain most of the fluctuations in...
Persistent link: https://www.econbiz.de/10013117964
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …
Persistent link: https://www.econbiz.de/10011731038
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Deviations from Covered Interest Rate Parity
Du, Wenxin - 2017
We find that deviations from the covered interest rate parity condition (CIP) imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk...
Persistent link: https://www.econbiz.de/10012969453
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Original Sin and Deviations from Covered Interest Parity
Zheng, Huanhuan - 2020
Foreign holdings of sovereign debt in emerging markets (EMs) shift from foreign currency (FC) to local currency (LC), especially after the global financial crisis. We show that such a dissipation of original sin enlarges deviations from covered interest rate parity (CIP) in EMs, as FC debt is...
Persistent link: https://www.econbiz.de/10012827211
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...
Persistent link: https://www.econbiz.de/10010239739
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Do Announced Credit Rating Revisions Create Wealth Transfer Effects between Stockholders and Bondholders of European Firms?
Hundt, Steffen - 2016
Wealth transfer effects between stockholders and bondholders on the announcement date of changes in a firm's credit rating have primarily been examined a) for one type of security; b) on US capital markets; and c) by applying standard event study methods. In contrast to these investigations, we...
Persistent link: https://www.econbiz.de/10012984791
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A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - 2014
helped banks directly or whether banks were actually helped by the reduction in sovereign CDS spreads …
Persistent link: https://www.econbiz.de/10013063273
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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 …
Persistent link: https://www.econbiz.de/10012063227