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The eurozone financial crisis : role of interdependencies between bank and sovereign risk

Barth, James R.; Prabha, Apanard; Yun, Greg - In: Journal of financial economic policy 4 (2012) 1, pp. 76-97

Persistent link: https://www.econbiz.de/10009547141

Determinants of the size of the sovereign credit default swap market

Berg, Tobias; Streitz, Daniel - In: The journal of fixed income 25 (2016) 3, pp. 58-73

Persistent link: https://www.econbiz.de/10011430639

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea; Stulz, René M. - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Persistent link: https://www.econbiz.de/10011279577

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea; Stulz, René M. - 2015

Persistent link: https://www.econbiz.de/10011281228

Was the European sovereign crisis self-fulfilling? : empirical evidence about the drivers of market sentiments

Bruneau, Catherine; Delatte, Anne-Laure; Fouquau, Julien - In: Journal of macroeconomics 42 (2014), pp. 38-51

Persistent link: https://www.econbiz.de/10011286635

The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

Persistent link: https://www.econbiz.de/10011375946

Credit default swaps and the market for sovereign debt

Ismailescu, Iuliana; Phillips, Blake - In: Journal of banking & finance 52 (2015), pp. 43-61

Persistent link: https://www.econbiz.de/10011377300

Sovereign and bank CDS spreads : two sides of the same coin?

Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85

Persistent link: https://www.econbiz.de/10011299805

How connected is the global sovereign credit risk network?

Bostancı, Gorkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011326149

Credit ratings and the pricing of sovereign debt during the euro crisis

Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - 2013

Persistent link: https://www.econbiz.de/10009766969