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Regime-dependent determinants of Euro area sovereign CDS spreads

Blommestein, Hans J.; Eijffinger, Sylvester C. W.; … - In: Journal of financial stability 22 (2016), pp. 10-21

Persistent link: https://www.econbiz.de/10011703771

Debt stabilization and debt mutualization in a monetary union with endogenous risk premia

Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...

Persistent link: https://www.econbiz.de/10011350136

Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

möglicherweise problematischen Strukturbruch zurückzugreifen. Als Haupteffekte werden Kreditrisiko und flight …

Persistent link: https://www.econbiz.de/10009771035

Sovereign risk in the Euro zone

Okano, Eiji; Ogawa, Eiji - In: Global journal of economics 1 (2012) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10009711561

A tale of two risks in the EMU sovereign debt markets

Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet - In: Economics letters 172 (2018), pp. 102-106

Persistent link: https://www.econbiz.de/10012021929

Effects of debt mutualization in a monetary union with endogenous risk premia : can Eurobonds contribute to debt stabilization?

Aarle, Bas van; Engwerda, Jacob Christiaan; Weeren, … - In: Structural change and economic dynamics : SC+ED 44 (2018), pp. 100-114

Persistent link: https://www.econbiz.de/10012039800

Sovereign Bond Spreads and the Pricing of Sovereign Debt in the Eurozone : A Macroeconomic Fundamentals Approach

Goldberg, David - 2017

This paper investigates and models the yield spreads of sovereign debt of Eurozone countries by means of macroeconomic … fundamentals. In particular, this paper shows that the change in the volatility of terms-of-trade of trade outside the Eurozone was … terms-of-trade in this manner for the Eurozone, and presents important findings for fixed income investors …

Persistent link: https://www.econbiz.de/10012948379

The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context

Tampakoudis, Ioannis A.; Tamošiūnas, Andrius; … - In: Journal of business economics and management 20 (2019) 3, pp. 466-488

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

Persistent link: https://www.econbiz.de/10012175748

Dealing with dealers : sovereign CDS comovements

Gómez de Antonio, Miguel; Mayordomo, Sergio; … - In: Journal of banking & finance 90 (2018), pp. 96-112

Persistent link: https://www.econbiz.de/10011963451

Dealing with dealers : sovereign CDS comovements

Antón, Miguel; Mayordomo, Sergio; Rodríguez-Moreno, María - 2017

Persistent link: https://www.econbiz.de/10011786331