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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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What Drives Sovereign Debt Maturity in European Countries?
González-Fernández, Marcos - 2019
The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider the impact of the determinants in the...
Persistent link: https://www.econbiz.de/10012868953
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Time-Varying Dependence in Sovereign and Bank Credit Spreads : Evidence from Europe
Meine, Christian - 2014
This paper shows how a measure of bank-sovereign contagion can be extracted from CDS spreads using conditional Copula functions. I estimate the probability of a European bank to experience extreme upward co-movements in CDS spreads together with its home sovereign. Two main results are obtained....
Persistent link: https://www.econbiz.de/10013062121
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How important was contagion through banks during the European sovereign crisis?
Gonçalves, Andrei S. - 2017
We use days with tail sovereign CDS spread changes of peripheral countries to identify the effects of shocks to the cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS changes have an asymmetric impact in that bank stocks...
Persistent link: https://www.econbiz.de/10011963385
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European Sovereign Systemic Risk Zones
Arakelian, Veni - 2016
This paper proposes a novel framework identifying sovereign systemic risk zones. We first explore the cross-dynamics of sovereign CDS in terms of time-changing contagion measures based on copulas and then assemble these measures together with country-specific fundamentals through recursive...
Persistent link: https://www.econbiz.de/10012996735
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Sovereign contagion in Europe
González-Páramo, José Manuel - In: Economic & financial review : a journal of the European … 18 (2011) 4, pp. 152-166
Persistent link: https://www.econbiz.de/10009509880
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Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015
, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on …
Persistent link: https://www.econbiz.de/10010527055
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Detecting contagion in a multivariate time series system : an application to sovereign bond markets in Europe
Blatt, Dominik; Candelon, Bertrand; Manner, Hans - In: Journal of banking & finance 59 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011544252
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2014
eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …
Persistent link: https://www.econbiz.de/10013066384
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2020
eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …
Persistent link: https://www.econbiz.de/10012823085