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The risk of the sovereign debt default : the Eurozone crisis 2008-2013
Stamatopoulos, Theodoros V.; Arvanitis, Stavros E.; … - In: Applied economics 49 (2017) 38, pp. 3782-3796
Persistent link: https://www.econbiz.de/10011819935
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …
Persistent link: https://www.econbiz.de/10011978836
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The Complexity of Liquidity : The Extraordinary Case of Sovereign Bonds
Boudoukh, Jacob - 2016
explanation is that due to higher liquidity the most recently issued bond tends to trade at a premium to previously issued bonds …, liquidity has commonality across countries in the expected direction. However, the paper documents a novel finding that … questions the standard view of liquidity. Under certain conditions, especially related to credit deterioration and flight to …
Persistent link: https://www.econbiz.de/10012456103
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Dynamic Connectedness between Credit and Liquidity Risks in EMU Sovereign Debt Markets
Gómez-Puig, Marta; Pieterse-Bloem, Mary; … - 2022
We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the … risk to liquidity risk. This indicator is time-dependent, detecting some episodes where it goes from liquidity risk to … monetary policy shocks and economic policy uncertainty increase the probability of transmission from liquidity risk to credit …
Persistent link: https://www.econbiz.de/10014238010
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Dynamic Connectedness between Credit and Liquidity Risks in Emu Sovereign Debt Markets
Gómez-Puig, Marta; Pieterse-Bloem, Mary; … - 2022
We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the … risk to liquidity risk. This indicator is time-dependent, detecting some episodes where it goes from liquidity risk to … monetary policy shocks and economic policy uncertainty increase the probability of transmission from liquidity risk to credit …
Persistent link: https://www.econbiz.de/10014239527
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Sovereign probabilities of default in the euro area
Jobst, Rainer - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 65-91
Persistent link: https://www.econbiz.de/10014247866
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Chapter 25 Government debt
Elmendorf, Douglas W.; Gregory Mankiw, N. - In: Handbook of macroeconomics : volume 1, part C, (pp. 1615-1669). 1999
This chapter surveys the literature on the macroeconomic effects of government debt. It begins by discussing the data on debt and deficits, including the historical time series, measurement issues, and projections of future fiscal policy. The chapter then presents the conventional theory of...
Persistent link: https://www.econbiz.de/10014024215
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Illiquidity in sovereign debt markets
Passadore, Juan; Xu, Yu - In: Journal of international economics 137 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013439995
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A journey in the history of sovereign defaults on domestic law public debt
Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia - 2021
Persistent link: https://www.econbiz.de/10013345815
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The determinants of liquidity commonality in the Euro-area sovereign bond market
Panagiotou, Panagiotis; Jiang, Xu; Gavilán, Ángel - In: The European journal of finance 29 (2023) 10, pp. 1144-1186
Persistent link: https://www.econbiz.de/10014322992