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International liquidity shocks and the European sovereign debt crisis : was euro area unconventional monetary policy successful?

Everett, Mary M. - 2015

Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross-border funding, and (ii) a contraction in US wholesale...

Persistent link: https://www.econbiz.de/10011374059

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

What drives sovereign debt portfolios of banks in a crisis context?

Lamas, Matías; Mencía, Javier - 2019

We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...

Persistent link: https://www.econbiz.de/10011978836

Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)

Kalbaska, Alesia - 2017

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …

Persistent link: https://www.econbiz.de/10012965163

Measuring sovereign contagion in Europe

Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015

, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on …

Persistent link: https://www.econbiz.de/10010527055

States, banks, and the financing of the economy : monetary policy and regulatory perspectives

Balling, Morten (ed., introduction); … - Colloquium "States, Banks and the Financing of the …; … - 2013

On 5-6 September 2012 SUERF held its 30th Colloquium "States, Banks, and the Financing of the Economy" at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...

Persistent link: https://www.econbiz.de/10011711721

Sovereign credit rating determinants of the EU countries : the role of the euro area crisis and its legacy

Stawasz-Grabowska, Ewa - In: Entrepreneurial business and economics review : EBER 8 (2020) 2, pp. 47-69

Objective: The objective of the article is to identify the determinants of the EU countries’ sovereign credit ratings with a particular focus on the impact of the euro area crisis. Research Design & Methods: The study is conducted for the 28 EU countries for the years 2004-2018. The research...

Persistent link: https://www.econbiz.de/10012517007