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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
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The sovereign default problem in the Eurozone : an insurance-based approach
Arnold, Nadjeschda Katharina; Rees, Ray - 2015
This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that …
Persistent link: https://www.econbiz.de/10010533082
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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
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Debt stabilization and debt mutualization in a monetary union with endogenous risk premia
Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015
In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...
Persistent link: https://www.econbiz.de/10011350136
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The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis
Nauhaus, Steffen - 2015
the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …
Persistent link: https://www.econbiz.de/10011317827
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Bank exposures and sovereign stress transmission
Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2016 - This version: 16 September 2016
Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks' sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic...
Persistent link: https://www.econbiz.de/10011541386
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Escape routes from sovereign default risk in the euro area
Semmler, Willi; Proaño Acosta, Christian - 2015
The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent...
Persistent link: https://www.econbiz.de/10010498572
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Beyond spreadsmeasuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - 2018
In this paper we propose a composite indicator that measures multidimensional 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/10011921004
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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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