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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

Drivers of European public debt management

Wolswijk, Guido Franciscus Theodorus - 2020

This study analyses the choice of government debt managers in the euro area between issuing short-term or long-term debt over the period 1992-2017. Debt managers increased short-term debt issuance in response to higher interest rate spreads and to rising government debt, notably in vulnerable,...

Persistent link: https://www.econbiz.de/10012241253

The Euro area periphery sovereigns' fiscal positions and unconventional monetary policy

Hülsewig, Oliver; Scharler, Johann - 2020

We explore the reaction of the euro area periphery sovereigns' fiscal positions to an unconventional monetary policy shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing sign restrictions. Our results suggest that the...

Persistent link: https://www.econbiz.de/10012154910

Funding behaviour of debt management offices and the ECB's Public Sector Purchase Programme

Plessen-Mátyás, Katharina; Kaufmann, Christoph; … - 2021

This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB's Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former...

Persistent link: https://www.econbiz.de/10012518265

ECB interventions in distressed sovereign debt markets : the case of Greek bonds

Trebesch, Christoph; Zettelmeyer, Jeromin - 2014

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...

Persistent link: https://www.econbiz.de/10010337515

ECB interventions in distressed sovereign debt markets : the case of Greek bonds

Trebesch, Christoph; Zettelmeyer, Jeromin - 2018

We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....

Persistent link: https://www.econbiz.de/10011789289

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

Monetary policy under the microscope : intra-bank transmission of asset purchase programs of the ECB

Cycon, Lisa; Koetter, Michael - 2015

loan rate components, we exploit the co-existence of eurozone-wide security purchase programs and regional fiscal policies …

Persistent link: https://www.econbiz.de/10011317902

The Euro area crisis : politics over economics

Orphanides, Athanasios - 2014

This paper explores the dominant role of politics in decisions made by euro area governments during the crisis. Decisions that appear to have been driven by local political considerations to the detriment of the euro area as a whole are discussed. The domination of politics over economics has...

Persistent link: https://www.econbiz.de/10010387172

Fiscal and monetary policy determinants of the Eurozone crisis and its resolution

Dąbrowski, Marek - 2012

quasi-fiscal rescue operations can undermine this consensus and lead to a disintegration of the Eurozone. There are also … ; Eurozone ; Maastricht Treaty ; European Central Bank ; Euro ; Fiscal union …

Persistent link: https://www.econbiz.de/10009572988