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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 … European Central Bank’s (ECB’s) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …
Persistent link: https://www.econbiz.de/10010519824
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Mispricing of sovereign risk and investor herding in African debt markets
Morsy, Hanan; Moustafa, Eman - 2020
Persistent link: https://www.econbiz.de/10012220650
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Credit ratings and the pricing of sovereign debt during the euro crisis
Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - In: Oxford review of economic policy 29 (2013) 3, pp. 582-609
Persistent link: https://www.econbiz.de/10010344446
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Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach
Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296
Persistent link: https://www.econbiz.de/10013391984
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ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk
Katsampoxakis, Ioannis - In: EuroMed journal of business 17 (2022) 2, pp. 218-245
Persistent link: https://www.econbiz.de/10013362444
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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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Sovereign risk premia in the Euro Area and the role of contagion
Linciano, Nadia; Giordano, Luca; Soccorso, Paola - In: Journal of financial management, markets and institutions 1 (2013) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10011949545
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Spillovers and contagion in the sovereign CDS market
Adam, Michał - In: Bank i kredyt 44 (2013) 6, pp. 571-604
Persistent link: https://www.econbiz.de/10010339876
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Banks and sovereigns : a model of mutual contagion
Gruber, Alexander; Kogler, Michael - 2016
Persistent link: https://www.econbiz.de/10011718449
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Ankauf von Staatsanleihen durch die EZB : wie ist die neue Offenmarktpolitik der Europäischen Zentralbank zu bewerten?
Kerber, Markus; Mandler, Martin; Tillmann, Peter - In: Ifo-Schnelldienst 63 (2010) 21, pp. 3-10
Seit Mai 2010 kauft die Europäische Zentralbank direkt Anleihen privater und öffentlicher Schuldner auf dem Sekundärmarkt. Markus C. Kerber, Technische Universität Berlin, vertritt die Ansicht, dass diese "neue Offenmarktpolitik" der EZB, der Erwerb von Staatsanleihen auf dem Sekundärmarkt,...
Persistent link: https://www.econbiz.de/10008738597