Similar Search Results

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Financial Contagion During Lehman Default and Sovereign Debt Crisis : An Empirical Analysis on Euro Area Bond and Equity Markets

Gentile, Monica - 2012

The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices which have been excessive respect to fundamentals....

Persistent link: https://www.econbiz.de/10013096061

A Structural Approach to Estimate Market-Assessed Sovereign Credit Risk

Wang, Jue - 2012

This paper explores the economic determinants of market-assessed sovereign risk of members of the European monetary union. The empirical work is innovative in its Merton structural specification of appropriate inputs. It provides a theoretical background for the empirical investigation of...

Persistent link: https://www.econbiz.de/10013101762

Banks and Sovereign Risk : A Granular View

Buch, Claudia M. - 2015

implications of these exposures for bank risk. Larger, more capital market affine, and less capitalised banks hold more sovereign … that riskiness of government bond holdings affects bank risk only since 2010.This confirms the existence of a nexus between … government debt and bank risk …

Persistent link: https://www.econbiz.de/10013014660

Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads

Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012659594

Structural breaks in the interaction between bank and sovereign default risk

Lovreta, Lidija; López Pascual, Joaquín - In: SERIEs : Journal of the Spanish Economic Association 11 (2020) 4, pp. 531-559

The recent financial and sovereign debt crises emphasized the interdependence between bank and sovereign default risk … interaction between bank and sovereign default risk by endogenously estimating the timing of structural breaks. The endogenous … characterized with an evident change in the bank-sovereign interaction, and we detect a bi-directional relationship only during the …

Persistent link: https://www.econbiz.de/10012389039

A Factor Model of Securitisation of Sovereign Debt in the European Union

Gottschalk, Sylvia - 2022

This paper investigates the risk implications of securitizing the Eurozone sovereign debt as collateralised debt obligations (CDO). The proposal of creating asset-backed securities underpinned by Eurozone sovereign bonds has gained traction since the Eurozone Sovereign Debt Crisis of 2009-2012,...

Persistent link: https://www.econbiz.de/10013295048

Risk spillovers between global corporations and Latin American sovereigns : global factors matter

Gómez González, José Eduardo; Uribe, Jorge; … - 2022

This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...

Persistent link: https://www.econbiz.de/10014495999

Essays in international economics and development

Bluedorn, John Christopher - 2003

Persistent link: https://www.econbiz.de/10003384120

Hurricanes : intertemporal trade and capital shocks

Bluedorn, John Christopher (contributor) - 2005

Persistent link: https://www.econbiz.de/10003228830

1
2
3
4
5
6
7
8
9
10
Next
Last