Narrow search
Showing 1 - 10 of 8,207
Cover Image
The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …
Persistent link: https://www.econbiz.de/10003969864
Cover Image
"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
Cover Image
"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...
Persistent link: https://www.econbiz.de/10011759005
Cover Image
What Can Emu Countries' Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis?
Dötz, Niko - 2016
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....
Persistent link: https://www.econbiz.de/10012991091
Cover Image
What Can EMU Countries’ Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis?
Fischer, Christoph A. - 2015
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....
Persistent link: https://www.econbiz.de/10013037121
Cover Image
Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos - 2017
integrates measures of credit risk, volatility and liquidity into an overall measure of sovereign market stress. An application …
Persistent link: https://www.econbiz.de/10012968869
Cover Image
Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021
area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity …
Persistent link: https://www.econbiz.de/10013315399
Cover Image
Sovereign debt crisis in Portugal and Spain
Afonso, António; Verdial, Nuno - 2020
into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a … pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our …. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it …
Persistent link: https://www.econbiz.de/10012164218
Cover Image
Yield Spreads on EMU Government Bonds - During the Financial and the Euro Crisis
Schauer (neé Klepsch), Catharina - 2011
spreads of selected Eurozone members during the financial crisis and the recent Euro crisis. The results imply that before the … important role in determining yield spreads. Increasing risk aversion, which is measured by a volatility index, explains most of …
Persistent link: https://www.econbiz.de/10013126989
Cover Image
The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets
Ters, Kristyna - 2016
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...
Persistent link: https://www.econbiz.de/10012979715