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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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Cointegration of EMU government bonds in times of financial crises, COVID-19, and high inflation : the importance of sovereign debt for the European insurance industry
Meier, Samira; Gonzalez, Miguel Rodriguez - In: Zeitschrift für die gesamte Versicherungswissenschaft 112 (2023) 2, pp. 181-212
Beziehung der EWU-Anleiherenditen in der jüngsten Periode hoher Inflation. Wir analysieren die täglichen 10-jährigen … most recent period of high inflation. We analyze daily 10y sovereign bond yields for both, sample and sub-samples, by … Sovereign Debt Crisis, as well as in the more recent period of sharp increases in inflation which is experienced globally. The …
Persistent link: https://www.econbiz.de/10014487117
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Monetary policy after the crisis : a joint publication with the National Bank of Poland
Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.);  … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011710723
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Economic Surprises and Inflation Expectations : Has Anchoring of Expectations Survived the Crisis?
Autrup, Søren - 2014
This paper analyses price formation in medium- to longer-term maturity segments of euro area and US inflation … anchoring of inflation expectations in the two currency areas before and during the crisis. We find a somewhat stronger … anchoring of inflation expectations in the euro area than in the United States. During the crisis, the degree of anchoring of …
Persistent link: https://www.econbiz.de/10013055308
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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...
Persistent link: https://www.econbiz.de/10010222446
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Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)
Kalbaska, Alesia - 2017
This paper analyses the dynamics of the credit default swap (CDS) market of PIIGS, France, Germany and the UK for the period of 2005–2010. The study is performed on the basis of the Datastream and DTCC data on CDS spreads and the BIS data on cross-border exposures.The analysis of the data...
Persistent link: https://www.econbiz.de/10012965163
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From the 'Long Depression' to the 'Great Recession' : Bank Credit, Macroeconomic Risk, and Equity Returns
Gandhi, Priyank - 2016
In the U.S., over 1873-2014, an increase in bank credit is associated with a lower risk of a financial crisis in the near future. Bank credit expansion predicts lower excess returns and volatility for the aggregate stock market, and this predictive relation varies in the cross-section and is...
Persistent link: https://www.econbiz.de/10013002941
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Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area
Garcia, Juan A. - 2015
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big dataset (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk...
Persistent link: https://www.econbiz.de/10013014181
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Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area
Garcia, Juan A. - 2016
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...
Persistent link: https://www.econbiz.de/10012984568
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Regime-Dependent Sovereign Risk Pricing During the Euro Crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021
Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a panel smooth threshold regression model quantify and...
Persistent link: https://www.econbiz.de/10013248886