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The pricing of sovereign risk and contagion during the European sovereign debt crisis
Beirne, John; Fratzscher, Marcel - In: Journal of international money and finance 34 (2013), pp. 60-82
Persistent link: https://www.econbiz.de/10009751130
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The pricing of sovereign risk and contagion during the European sovereign debt crisis
Beirne, John; Fratzscher, Marcel - 2013
Persistent link: https://www.econbiz.de/10010233234
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...
Persistent link: https://www.econbiz.de/10013061742
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Non-bank financial intermediation in the euro area : implications for monetary policy transmission and key vulnerabilities
2021
The financing structure of the euro area economy has evolved since the global financial crisis with non-bank financial … intermediation taking a more prominent role. This shift affects the transmission of monetary policy. Compared with banks, non-bank … the euro area, which is still highly reliant on bank loans. Amid a low interest rate environment, the growth of market …
Persistent link: https://www.econbiz.de/10012627167
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Transmission of Government Default Risk in the Eurozone
Kohonen, Anssi - 2013
The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....
Persistent link: https://www.econbiz.de/10013088504
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and …
Persistent link: https://www.econbiz.de/10010239322
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Regional and Ownership Drivers of Bank Efficiency
Zelenyuk, Natalya - 2017
analyse how various bank-specific factors (e.g., type of ownership, regional aspects, level of risk as per Basel Accords …
Persistent link: https://www.econbiz.de/10012972842
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Does Fed Funds Target Interest Rate Lead Bank of England’s Bank Rate and European Central Bank’s Key Interest Rate?
Çelik, Sadullah; Deniz, Pinar - 2009
rates in other countries. In this paper, we analyze the effects of FFTR on Bank of England (BOE) bank rate and European … Central Bank (ECB) key interest rate employing - the rather new and trustworthy technique of-Bounds testing developed by …
Persistent link: https://www.econbiz.de/10014208847
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What is a Prime Bank? A Euribor – OIS Spread Perspective
Taboga, Marco - 2013
; given the lack of a clear definition of the concept of prime bank, this question might leave room for subjective judgment … participants' perception of what a prime bank is. This adds to the difficulties already encountered by previous studies in exactly …
Persistent link: https://www.econbiz.de/10013086476
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Crisis management at cross-roads : challenges facing cross-border financial institutions at the EU level : a joint publication with the Centre for European Policy Studies (CEPS)
Ayadi, Rym (ed.); Lierman, Frank (ed.); Balling, Morten (ed.) - Conference "Crisis Management at Cross-Roads" <2009, …; … - 2010
On 16th November 2009, SUERF, CEPS and the Belgian Financial Forum coorganized a conference "Crisis management at cross-roads" in Brussels. All papers in the present volume are based on contributions at the conference and the SUERF Annual Lecture which followed the event.
Persistent link: https://www.econbiz.de/10011706117