What is the current state of sovereign credit risk across Euro zone? Does the recent fiscal crisis extend to other (non Euro zone) countries? Is Greece the center of the problem? How did the current fiscal crisis in the Euro area start? Who is behind it? Why can it evolve? How can it be...

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....

In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the Eurozone, i.e., the risk of a sovereign default obtained by the redenomination of debt in a different currency. Quanto-CDS spreads are the difference between the CDS quotes in U.S. dollars and euros. We...

We use quanto credit default swaps to analyze the impact of a credit event in the Euro zone on the Euro-Dollar exchange rate. In light of the European debt crisis, market participants are willing to pay more for protection against a sovereign credit event if the payment in such an event is...

Using several new datasets, I document the role of legal risk premia in bond yields during the Euro-crisis. I find evidence of a rising premium especially in late 2011 and mid-2012 on bonds with foreign governing law relative to those with local governing law (and otherwise similar...

The impact of domestic and spillover macroeconomic news from the U.S., the Eurozone and China on national sovereign credit default swap (CDS) spreads and spread volatility are examined over a recent period of financial instability from November 2007 to March 2012. We find that better than...

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...