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COVID-19 and financial markets : assessing the impact of the coronavirus on the eurozone
D'Orazio, Paola; Dirks, Maximilian W. - 2020
signifikanten negativen Effekt auf Aktienmärkte durch auf COVID-19 bezogene Politikmaßnahmen, die in der Eurozone zwischen dem 1 …
Persistent link: https://www.econbiz.de/10012250433
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The Global Effects of U.S. Monetary Policy on Equity and Bond Markets : A Spatial Panel Data Model Approach
Lu, Lina - 2020
We use spatial panel data model analysis to study the international transmission of U.S. monetary policy shocks in the global equity and bond markets. Through this analysis, we decompose the overall effect of such a shock into 1) direct effects, 2) higher-order network effects transmitted...
Persistent link: https://www.econbiz.de/10012845434
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Global and Local Currency Effects on Euro Area Investment in Emerging Market Bonds
Adriaan Boermans, Martijn - 2020
We analyze how global and local factors affect portfolio allocation by euro area investors in emerging markets at the bond-level. First, cross-sectional analysis reveals a strong preference for home (Euro) currency bonds. Second, panel regressions, whether at the bond or aggregate flows level,...
Persistent link: https://www.econbiz.de/10012839247
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The Impact of Unconventional Monetary Policy on the Sovereign Bank Nexus within and Across EU Countries. A Time-Varying Conditional Correlation Analysis
Cifarelli, Giulio - 2016
We investigate the time varying dynamics of the linkages between sovereign and bank default risks over the period 2006-2015, using the credit default swap (CDS) spreads of the bonds of major international banks and of sovereign issuers as indicators of risk within four major European countries....
Persistent link: https://www.econbiz.de/10012988476
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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Comovement and Disintegration of EU Sovereign Bond Markets During the Crisis
Vacha, Lukas - 2019
concentrated mainly at low frequencies. The comovement decreased in the eurozone during the crisis but remained high among … countries with national currencies. Within the eurozone, we document a complex heterogeneity in the comovement that spans well … eurozone fragility hypothesis rather than to those who consider the fundamental factors to be the main driving force of the …
Persistent link: https://www.econbiz.de/10012904225
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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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Euro Crisis : From the Sovereigns to the Banks and Back to the Sovereigns
Gurdgiev, Constantin - 2011
The global financial crisis of 2007-2009 crystallized the underlying imbalances that are currently acting to tear apart the Euro area monetary and fiscal systems by focusing markets and public attention on the core cause of the overall Euro crisis, the insolvency of the Euro area member-states...
Persistent link: https://www.econbiz.de/10013122727
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International capital flows at the security level : evidence from the ECB's Asset Purchase Programme
Bergant, Katharina; Fidora, Michael; Schmitz, Martin - 2020
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Pro- gramme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital ows into individual securities, cleaned from valuation effects. Our...
Persistent link: https://www.econbiz.de/10012197845
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Quantitative Easing and Sovereign Bond Yields : A Global Perspective
Malliaropulos, Dimitris; Migiakis, Petros M. - 2022
points for B rated sovereigns. Fiscally weaker Eurozone countries benefited most from Quantitative Easing, with their …
Persistent link: https://www.econbiz.de/10013491889