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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
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Intraday dynamics of euro area sovereign credit risk contagion
Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016
Persistent link: https://www.econbiz.de/10011535645
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Panel multi-predictor test procedures with an application to emerging market sovereign risk
Westerlund, Joakim; Thuraisamy, Kannan Sivananthan - In: Emerging markets review 28 (2016), pp. 44-60
Persistent link: https://www.econbiz.de/10011670975
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Financial markets and fiscal discipline in the Eurozone
Canale, Rosaria Rita; De Simone, Elina; Spagnolo, Nicola - In: Structural change and economic dynamics : SC+ED 58 (2021), pp. 490-499
Persistent link: https://www.econbiz.de/10012648733
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Pricing sovereign bond risk in the European Monetary Union area : an empirical envestigation
Afonso, António; Arghyrou, Michael Georgiou; … - In: International journal of finance & economics : IJFE 19 (2014) 1, pp. 49-56
Persistent link: https://www.econbiz.de/10010470962
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Does austerity pay off? : conference paper
Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes - 2014
market confidence, bringing about a reduction in yield spreads? We employ a new panel data set which contains sovereign yield …
Persistent link: https://www.econbiz.de/10010481328
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Sovereign debt holdings and banks' credit risk : evidence from the Eurozone
Abinzano, Isabel; Corredor, Pilar; Mansilla-Fernández, … - In: Finance research letters 47 (2022) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10013457292
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Are all sovereigns equal? : a test of the common determination of sovereign spreads in the euro area
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 939-949
Persistent link: https://www.econbiz.de/10011303574
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Are all sovereigns equal? : a test of the common determination of sovereign spreads in the euro area
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2014
Persistent link: https://www.econbiz.de/10010258707
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Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
Komarek, Lubos - 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 Germany, France and central European...
Persistent link: https://www.econbiz.de/10012986255