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Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021
In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...
Persistent link: https://www.econbiz.de/10013315399
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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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Sovereign debt, the blessing aspects and the implications for the Euro area
Chiesa, Gabriella - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 1, pp. 9-30
The Euro area has a unique monetary authority that governs money creation, but several individual-countries’ sovereign debts that differ in terms of safety. We analyse: i) the interactions between the financial and real sector in such an environment; ii) the role of government bonds as...
Persistent link: https://www.econbiz.de/10012507194
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Sovereign Bond Spreads and the Pricing of Sovereign Debt in the Eurozone : A Macroeconomic Fundamentals Approach
Goldberg, David - 2017
This paper investigates and models the yield spreads of sovereign debt of Eurozone countries by means of macroeconomic … fundamentals. In particular, this paper shows that the change in the volatility of terms-of-trade of trade outside the Eurozone was … terms-of-trade in this manner for the Eurozone, and presents important findings for fixed income investors …
Persistent link: https://www.econbiz.de/10012948379
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Recent Estimates of Sovereign Risk Premia for Euro-Area Countries
Di Cesare, Antonio - 2012
This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...
Persistent link: https://www.econbiz.de/10013099594
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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78
separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along …
Persistent link: https://www.econbiz.de/10012436652
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Flight patterns and yields of European Government Bonds
Schweinitz, Gregor von - 2013
The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...
Persistent link: https://www.econbiz.de/10009771035
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Contagion dynamics in EMU government bond spreads
Leschinski, Christian; Bertram, Philip - 2013
There is a growing consensus that part of the surge in government bond spreads during the EMU debt crisis can be explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the dynamics of these effects. As a contribution to fill this gap,...
Persistent link: https://www.econbiz.de/10010239744
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Tail Dependence of Eurozone Sovereign CDS Spreads
Arakelian, Veni - 2018
Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …
Persistent link: https://www.econbiz.de/10012914425
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EMU and the renaissance of sovereign credit risk perception
Schmid, Kai D.; Schmidt, Michael - 2012
What is the role of fiscal variables for the assessment of sovereign credit risk? Has this role changed over time? In the face of the financial crisis many OECD countries have experienced large increases of government debt relative to GDP. This has triggered a distinct response of financial...
Persistent link: https://www.econbiz.de/10009751303