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Sovereign Contagion in Europe : Evidence from the CDS Market
Manasse, Paolo - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10013088213
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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 … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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COVID-19 and the Discounting of Real Economic Activity in the US and European Stock Markets
Junttila, Juha-Pekka - 2020
We analyse how the future real economic activity is discounted to the current value of stocks in the US and European markets, and find that the extraordinary threat on future real GDP growth caused by the COVID-19 pandemic was obviously one of the main factors that affected the deep dive in the...
Persistent link: https://www.econbiz.de/10012836097
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Theory and Empirics of an Affine Term Structure Model Applied to European Data
Jakas, Vicente - 2011
The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...
Persistent link: https://www.econbiz.de/10013133488
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The Microstructure of European Bond Markets : Organization, Price Formation, and Cost of Liquidity
Flögel, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10013520964
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The microstructure of European bond markets : organization, price formation, and cost of liquidity
Flögel, Volker - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003307883
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Macroeconomic Fundamentals of the Long-Run Time Varying Correlations between Turkish and European Stock Markets
Güngör, Arifenur; Güngör, Mahmut Sami - 2023
This paper examines macro-financial proximity underlying dynamics of co-movement between emerging and developed countries’ stock markets over the last decade. We initially decompose dynamic conditional correlations between log-returns of daily stock market indexes into short-run (daily) and...
Persistent link: https://www.econbiz.de/10014258232
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Effects of Sovereign Risk on Duration : Evidence from European and Latin American Sovereign Bond Markets
Lee, Hei Wai - 2012
We examine effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996-2011. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated sovereign bonds with their Macaulay duration for both investment- and...
Persistent link: https://www.econbiz.de/10013101247
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Sentiment Analysis of European Bonds 2016–2018
Schwendner, Peter - 2019
We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative...
Persistent link: https://www.econbiz.de/10012863752
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COVID-19, Ukraine-Russia war, and European Sovereign Bond Markets
Carnazza, Giovanni; Liberati, Paolo - 2022
Analysing the sovereign bond and the CDS markets of eight Eurozone countries from 2019 to mid-2022, we document the …
Persistent link: https://www.econbiz.de/10014076976