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Financial Contagion During Lehman Default and Sovereign Debt Crisis : An Empirical Analysis on Euro Area Bond and Equity Markets

Gentile, Monica - 2012

also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices … which have been excessive respect to fundamentals. The term “contagion,” generally used in contrast to “interdependence … like. Although there is still wide disagreement among economists about what contagion is exactly and how it should be …

Persistent link: https://www.econbiz.de/10013096061

Souvereign credit risk co-movements in the Eurozone : simple interdependence or contagion?

Buchholz, Manuel; Tonzer, Lena - In: International finance 19 (2016) 3, pp. 246-268

Persistent link: https://www.econbiz.de/10011713910

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

Systemic sovereign risk and asset prices : evidence from the CDS market, stressed European economies and nonlinear causality tests

Apergēs, Nikolaos; Ajmi, Ahdi Noomen - In: Finance a úvěr 65 (2015) 2, pp. 127-143

Persistent link: https://www.econbiz.de/10010501896

Rating agencies, self-fulfilling prophecy and multiple equilibria? : an empirical model of the European sovereign debt crisis 2009-2011

Gärtner, Manfred; Griesbach, Bjorn - In: Business and Economic Research : BER 7 (2017) 1, pp. 199-226

Persistent link: https://www.econbiz.de/10011684690

Macroeconomic variables and the sovereign risk premia in EMU, non-EMU EU, and developed countries

Gevorkyan, Arkady; Semmler, Willi - In: Empirica : journal of european economics 43 (2016) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011647706

Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2015

holdings by banks to eurozone membership and inflation increased significantly since the collapse of Lehman Brothers. Since the …

Persistent link: https://www.econbiz.de/10011334569

Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013

In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...

Persistent link: https://www.econbiz.de/10009787584

Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - In: Journal of financial stability 25 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011704764

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398