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Measuring connectedness of Euro area sovereign risk
Gätjen, Rebekka; Schienle, Melanie - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
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The Relative Pricing of Sovereign Credit Risk after the Eurozone Crisis
Corvino, Raffaele - 2020
consistent cross-sectional relationship between default risk and bond yields is restored for the Eurozone countries only, a …
Persistent link: https://www.econbiz.de/10012853846
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International financial integration, crises, and monetary policy : evidence from the Euro area interbank crises international financial integration, crises, and monetary policy : e...
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2017 - This version: July, 2017
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank …
Persistent link: https://www.econbiz.de/10011704823
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International Financial Integration, Crises, and Monetary Policy : Evidence from the Euro Area Interbank Crises
Abbassi, Puriya - 2017
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank …
Persistent link: https://www.econbiz.de/10012948677
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Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia - 2019
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market …
Persistent link: https://www.econbiz.de/10012894210
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Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia - 2018
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market …
Persistent link: https://www.econbiz.de/10012913584
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Lost at sea : the euro needs a Euro Treasury
Bibow, Jörg - 2013
of existing national public debts is involved. Instead, the Euro Treasury is established as a means to pool eurozone …The euro crisis remains unresolved even as financial markets may seem calm for now. The current euro regime is … the euro are assessed and found lacking. A "Euro Treasury" scheme operating on a strict rule and specifically designed not …
Persistent link: https://www.econbiz.de/10010204687
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and …
Persistent link: https://www.econbiz.de/10010410308
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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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Currency compositions of international reserves and the euro crisis
Laser, Falk Hendrik; Weidner, Jan - 2020
international reserves. Using a dataset of 36 countries (and the euro area) for the years from 1996 to 2016, we identify currency … motives for the composition of currency reserves. The euro crisis appears to have been a setback for the euro, which …
Persistent link: https://www.econbiz.de/10012169782