Narrow search
Showing 1 - 10 of 58,223
Cover Image
The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis
Nauhaus, Steffen - 2015
previously asserted. On the basis of panel data methods for a set of 11 EMU countries, the analysis reveals significant evidence … the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …
Persistent link: https://www.econbiz.de/10011317827
Cover Image
International liquidity shocks and the European sovereign debt crisis : was euro area unconventional monetary policy successful?
Everett, Mary M. - 2015
Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross-border funding, and (ii) a contraction in US wholesale...
Persistent link: https://www.econbiz.de/10011374059
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
Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …
Persistent link: https://www.econbiz.de/10010206145
Cover Image
Escape routes from sovereign default risk in the euro area
Semmler, Willi; Proaño Acosta, Christian - 2015
The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent...
Persistent link: https://www.econbiz.de/10010498572
Cover Image
Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of …
Persistent link: https://www.econbiz.de/10011974869
Cover Image
The Power of Opinion : More Evidence of a GIPS-Markup in Sovereign Ratings During the Euro Crisis
Nauhaus, Steffen - 2015
previously asserted. On the basis of panel data methods for a set of 11 EMU countries, the analysis reveals significant evidence … the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …
Persistent link: https://www.econbiz.de/10013016093
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 portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...
Persistent link: https://www.econbiz.de/10011978836
Cover Image
Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333