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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … following the OMT announcement, the high current degree of fragmentation poses difficult challenges for policy-makers, since it …
Persistent link: https://www.econbiz.de/10010519824
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Measuring sovereign bond fragmentation in the Eurozone
Costola, Michele; Iacopini, Matteo - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014289161
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Euro area sovereign bond risk premia during the Covid-19 pandemic
Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021
announcements during the Covid-19 pandemic recession. We find that both monetary and fiscal policy announcements had a pronounced ef …
Persistent link: https://www.econbiz.de/10012519519
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Dispelling the Shadow of Fiscal Dominance? Fiscal and Monetary Announcement Effects for Euro Area Sovereign Spreads in the Corona Pandemic
Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021
We use event study regressions to compare the impact of EU monetary versus fiscal policy announcements on government bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players – the ECB or the EU fiscal level – has been more crucial for the...
Persistent link: https://www.econbiz.de/10013221648
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Negative interest rates, COVID-19, and the finances of listed euro firms
Eije, Johan H. von - In: Central European review of economics and management : CEREM 5 (2021) 4, pp. 117-143
also measures the impact of the first COVID-19 year. Design / research methods: The paper uses panel data to measure the … negative yields boost these assets by 4.5% extra. In the first COVID-19 year, the investments in non-liquid assets were 7 … influence of negative interest rates and of COVID-19 on European firms are unavailable. This makes the paper relevant for firm …
Persistent link: https://www.econbiz.de/10013202353
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure …
Persistent link: https://www.econbiz.de/10013285648
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The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone
Carnazza, Giovanni; Liberati, Paolo - In: Journal of policy modeling : JPMOD ; a social science … 43 (2021) 3, pp. 521-542
Persistent link: https://www.econbiz.de/10012880120
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COVID-induced sovereign risk in the euro area : when did the ECB stop the spread?
Ortmans, Aymeric; Tripier, Fabien - In: European economic review : EER 137 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012698183
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The effect of Eurosystem Asset Purchase Programmes on euro area sovergein bond yields during the Covid-19 pandemic
Hondroyiannis, George B.; Papaoikonomou, Dimitrios - 2021
Persistent link: https://www.econbiz.de/10012792394
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Dispelling the shadow of fiscal dominance? : fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic
Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021 - This version: June 2021
We use event study regressions to compare the impact of EU monetary versus fiscal policy announcements on government bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU fiscal level - has been more crucial for the stabilization of...
Persistent link: https://www.econbiz.de/10012534642