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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area

Krylova, Elizaveta - 2016

This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...

Persistent link: https://www.econbiz.de/10012988612

'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads

Gade, Thomas - 2013

Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...

Persistent link: https://www.econbiz.de/10013079362

Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021

area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity …

Persistent link: https://www.econbiz.de/10013315399

A macro-financial analysis of the euro area sovereign bond market

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; Sola … - 2014

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...

Persistent link: https://www.econbiz.de/10011589074

Sovereign debt crisis in Portugal and Spain

Afonso, António; Verdial, Nuno - 2020

into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a … pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our …. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it …

Persistent link: https://www.econbiz.de/10012164218

Quantitative easing in the Euro Area

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011641961

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

Yield Spreads on EMU Government Bonds - During the Financial and the Euro Crisis

Schauer (neé Klepsch), Catharina - 2011

spreads of selected Eurozone members during the financial crisis and the recent Euro crisis. The results imply that before the … important role in determining yield spreads. Increasing risk aversion, which is measured by a volatility index, explains most of …

Persistent link: https://www.econbiz.de/10013126989

The Effect of Eurosystem Asset Purchase Programmes on Euro Area Sovereign Bond Yields During the Covid-19 Pandemic

Hondroyiannis, G.; Papaoikonomou, Dimitrios - 2022

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09...

Persistent link: https://www.econbiz.de/10013492320

Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union

Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107

This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...

Persistent link: https://www.econbiz.de/10013407190