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The pricing of sovereign risk and contagion during the European sovereign debt crisis
Beirne, John; Fratzscher, Marcel - In: Journal of international money and finance 34 (2013), pp. 60-82
Persistent link: https://www.econbiz.de/10009751130
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The pricing of sovereign risk and contagion during the European sovereign debt crisis
Beirne, John; Fratzscher, Marcel - 2013
Persistent link: https://www.econbiz.de/10010233234
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...
Persistent link: https://www.econbiz.de/10013061742
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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
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Non-defaultable debt and sovereign risk
Hatchondo, Juan Carlos; Martinez, Leonardo; Onder, … - In: Journal of international economics 105 (2017), pp. 217-229
Persistent link: https://www.econbiz.de/10011751900
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Does austerity pay off? : conference paper
Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes - 2014
Austerity measures are frequently enacted when the sustainability of public finances is in doubt. Such doubts are reflected in high sovereign yield spreads and put further strain on government finances. Is austerity successful in restoring market confidence, bringing about a reduction in yield...
Persistent link: https://www.econbiz.de/10010481328
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...
Persistent link: https://www.econbiz.de/10009161447
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Spillovers and contagion in the sovereign CDS market
Adam, Michał - In: Bank i kredyt 44 (2013) 6, pp. 571-604
Persistent link: https://www.econbiz.de/10010339876
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Long-term returns in distressed sovereign bond markets : how did investors fare?
Andritzky, Jochen; Schumacher, Julian - 2019
Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking...
Persistent link: https://www.econbiz.de/10012102075
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Pricing sovereign debt in resource rich economies?
McGregor, Thomas - 2017
Persistent link: https://www.econbiz.de/10011895959