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Sovereign risk, elections, and contagion
Li, Chi; Balding, Christopher; Lee, Minsoo - 2013
prefer change, indicating hope in new policies ameliorate public finances. Second, due to the prolonged eurozone sovereign …
Persistent link: https://www.econbiz.de/10009781196
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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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Speculation in European Sovereign Debt Markets
Frijns, Bart - 2016
European sovereign debt markets have been under scrutiny ever since the sovereign debt crisis of 2009. In this paper, we decompose bond and CDS spreads into fundamental and non-fundamental parts by means of a heterogeneous agent model. The model contains arbitrageurs who make use of the...
Persistent link: https://www.econbiz.de/10012999936
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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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Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - In: Journal of financial stability 34 (2018), pp. 150-181
Persistent link: https://www.econbiz.de/10012156803
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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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Europe, public debts, and safe assets : the scope for a European Debt Agency
Amato, Massimo; Belloni, Everardo; Falbo, Paolo; Gobbi, … - In: Economia politica : journal of analytical and … 38 (2021) 3, pp. 823-861
Persistent link: https://www.econbiz.de/10012663455
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Accounting for climate policies in Europe's sovereign debt market
Domínguez-Jiménez, Marta; Lehmann, Alexander - 2021
International debt investors increasingly demand assets that are aligned with environmental, social and governance objectives. Sovereign debt is being belatedly swept up in this change. This huge asset class represents a uniquely long-term claim and funds a wide range of public expenditure, both...
Persistent link: https://www.econbiz.de/10012655191
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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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Was the European sovereign crisis self-fulfilling? : empirical evidence about the drivers of market sentiments
Bruneau, Catherine; Delatte, Anne-Laure; Fouquau, Julien - In: Journal of macroeconomics 42 (2014), pp. 38-51
Persistent link: https://www.econbiz.de/10011286635