Narrow search
Showing 1 - 10 of 11,519
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Sovereign Debt Spreads : Dynamic Determinants - A European Crisis Approach
del Campo Baonza, Javier - 2011
The last stage of the current economic crisis is mainly focused in Europe and, especially, in Portugal, Ireland, Greece and Spain. The severity of their public sector crisis could be a serious problem for the future of the Euro and the European project. As a consequence of it, sovereign bond...
Persistent link: https://www.econbiz.de/10013122709
Cover Image
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
Cover Image
Completing the monetary union of Europe as mid-term solution of the Euro crisis
Fischer, Justina A. V.; Pastore, Francesco - 2015
This research note discusses the Euro crisis in Greece in light of the referendum of July the 5th. It lays out the social and political costs of a GREXIT, but also of a continuing austerity policy. It proposes a reform policy fostering growth in Greece and discusses the role of conditionality....
Persistent link: https://www.econbiz.de/10011308548
Cover Image
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
Cover Image
The mutualization of sovereign debt : comparing the American past and the European present
Steinbach, Armin - In: Journal of common market studies : JCMS 53 (2015) 5, pp. 1110-1125
Persistent link: https://www.econbiz.de/10011392502
Cover Image
Ratings matter : announcements in times of crisis and the dynamics of stock markets
Rosati, Nicoletta; Bellia, Mario; Matos, Pedro Verga; … - Europäische Kommission / Gemeinsame Forschungsstelle - 2019
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled...
Persistent link: https://www.econbiz.de/10012103125