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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

The rise of bond financing in Europe

Darmouni, Olivier; Papoutsi, Melina - 2022

The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...

Persistent link: https://www.econbiz.de/10013198743

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

Systemic sovereign risk in Europe : an MES and CES approach

Popescu, Alexandra; Turcu, Camelia - In: Revue d'économie politique 124 (2014) 6, pp. 899-925

Persistent link: https://www.econbiz.de/10011440848

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Are European Sovereign Bonds Fairly Priced? The Role of Modeling Uncertainty

de Haan, Leo - 2013

This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

Persistent link: https://www.econbiz.de/10013073359

European sovereign debt risk management : the role of a European Debt Agency

Amato, Massimo; Belloni, Everardo; Favero, Carlo A.; … - In: Journal of government and economics : JGE 15 (2024), pp. 1-17

Eurozone public debt, to address two primary risks: roll-over and sustainability risk. The proposed EDA would price its loans … sovereign debt in the Eurozone that would promote fiscal responsibility and stability. …

Persistent link: https://www.econbiz.de/10015130229

A European Safe Asset to Complement National Government Bonds

Giudice, Gabriele - 2019

This paper expands the growing literature on common safe assets in the context of the euro area financial system by employing credit risk simulation techniques to investigate the properties of different safe asset models and their impact on national bond markets. The paper explores in particular...

Persistent link: https://www.econbiz.de/10012863654

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Chan-Lau, Jorge A. - 2012

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....

Persistent link: https://www.econbiz.de/10013104113

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Chan-Lau, Jorge A. - 2016

Persistent link: https://www.econbiz.de/10012988766