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European Government Bond Dynamics and Stability Policies : Taming Contagion Risks

Schwendner, Peter - 2017

From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...

Persistent link: https://www.econbiz.de/10012971807

European Government Bond Dynamics and Stability Policies : Taming Contagion Risks

Schwendner, Peter - 2018

From 2004 to 2015, the market perception of the sovereign risks of the euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. “Core” and “peripheral” bonds cluster in a bloc-like structure,...

Persistent link: https://www.econbiz.de/10012924391

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010222894

Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

Persistent link: https://www.econbiz.de/10010503289

Systemic liquidity contagion in the European interbank market

Macchiati, Valentina; Brandi, Giuseppe; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 443-474

Persistent link: https://www.econbiz.de/10013271944

Sovereign Bond and CDS Market Contagion : A Story From the Eurozone Crisis

Bampinas, Georgios; Panagiōtidēs, Theodōros; … - 2023

relevant mechanisms, highlights the importance of credit risk over liquidity risk, and the containment effect of the naked CDS …

Persistent link: https://www.econbiz.de/10014349801

Real estate bubbles and contagion : evidence from selected European countries

Bago, Jean-Louis; Rherrad, Imad; Akakpo, Koffi; … - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 389-405

Using quarterly housing price-to-rent ratios from 1970 to 2020, this paper investigated the presence of real estate bubbles at a national level in six selected European countries, namely France, Germany, Italy, Netherlands, Spain, and the United Kingdom. We applied the generalized sup ADF test...

Persistent link: https://www.econbiz.de/10012886347

European Equity Market Contagion : An Empirical Application to Ireland's Sovereign Debt Crisis

Corbet, Shaen - 2014

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10013052375

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

Persistent link: https://www.econbiz.de/10011731038

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

Persistent link: https://www.econbiz.de/10011471074