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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

Persistent link: https://www.econbiz.de/10013061742

The global financial crisis and its impact on emerging market economies in Europe and the CIS: Evidence from mid-2010

Dabrowski, Marek - 2010

Emerging market economies were major beneficiaries of the economic boom before 2007. More recently, they have become victims of the global financial crisis. Their future development depends, to a large extent, on global economic prospects. Today the global economy and the European economy are...

Persistent link: https://www.econbiz.de/10011430853

Die Schuldenkrise des Globalen Südens : Verfahren zu ihrer Bewältigung schaffen

Liebal, Mara; Rehbein, Kristina - In: Vierteljahrshefte zur Wirtschaftsforschung 88 (2019) 4, pp. 67-76

Ausgelöst durch das Zusammentreffen niedriger Zinsen in reichen Ländern und einem hohen Finanzierungsbedarf für Infrastruktur in vielen ärmeren Ländern befindet sich die Verschuldung der Länder des Globalen Südens seit Jahren auf einem dramatisch hohen Niveau. Hohe Schuldendienstzahlungen...

Persistent link: https://www.econbiz.de/10012155264

Emerging markets bond index performance and sovereign default : the case of Ecuador

Zanoni López, Wladimir; Díaz, Emily; Paredes, Jorge; … - 2024

This paper delves into the dynamic impact of Ecuador's 2008 sovereign debt default on the subsequent performance of the country's bonds, specifically as measured by the Emerging Markets Bond Index (EMBI). Through a blend of qualitative and quantitative analyses, the paper develops a framework...

Persistent link: https://www.econbiz.de/10014529939

Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises?

Kräussl, Roman - 2003

Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerg-ing market...

Persistent link: https://www.econbiz.de/10009765359

Chapter 21. Quantitative Models of Sovereign Debt Crises

Aguiar, M.; Chatterjee, S.; Cole, H.; Stangebye, Z. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1697-1755). 2016

This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

Persistent link: https://www.econbiz.de/10014024275

Stock Market Impact of Sovereign Credit Rating Announcements : The Case of GIIPS and BRIC Countries During the European Sovereign Debt Crisis of 2009-2013

Paterson, Alexander - 2014

In this study, we analyze the effects of sovereign credit rating reviews on national stock market performances in GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Through an event study, we test the Null Hypothesis that cumulative abnormal returns on national...

Persistent link: https://www.econbiz.de/10013060066

Mispricing of sovereign risk and investor herding in African debt markets

Morsy, Hanan; Moustafa, Eman - 2020

Persistent link: https://www.econbiz.de/10012220650

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

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

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