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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

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

Sovereign Contagion in Europe : Evidence from the CDS Market

Manasse, Paolo - 2013

Persistent link: https://www.econbiz.de/10013088213

Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?

Delatte, Anne Laure - 2012

This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our...

Persistent link: https://www.econbiz.de/10013114194

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

The term structure of risk premia : new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...