Similar Search Results

Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

Persistent link: https://www.econbiz.de/10013126657

The Variance Risk Premium Around the World

Londono, Juan M. - 2011

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

Persistent link: https://www.econbiz.de/10013128804

The Variance Risk Premium around the World

Londono, Juan M. - 2015

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

Persistent link: https://www.econbiz.de/10013032025

The Variance Risk Premium Around the World

Londono, Juan M. - 2012

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

Persistent link: https://www.econbiz.de/10013110367

Vulnerable growth in the euro area : measuring the financial conditions

Figueres, Juan Manuel; Jarociński, Marek - 2020

This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation...

Persistent link: https://www.econbiz.de/10012262990

Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies … European country's sovereign risk as measured by 5- and 10-year Credit Default Swaps (CDS) and bond returns. Moreover, this …

Persistent link: https://www.econbiz.de/10014442414

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, Christopher F. - 2016

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

Persistent link: https://www.econbiz.de/10013003953