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Escape routes from sovereign default risk in the euro area
Semmler, Willi; Proaño Acosta, Christian - 2015
The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent...
Persistent link: https://www.econbiz.de/10010498572
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Transmission of Sovereign Risk in the Euro Crisis
Brutti, Filippo - 2013
We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European...
Persistent link: https://www.econbiz.de/10013091155
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 … also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …
Persistent link: https://www.econbiz.de/10010206145
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Credit rating agency downgrades and the Eurozone sovereign debt crises
Baum, Christopher F.; Schäfer, Dorothea; Stephan, Andreas - In: Journal of financial stability 24 (2016), pp. 117-131
Persistent link: https://www.econbiz.de/10011704126
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2018
Persistent link: https://www.econbiz.de/10011946887
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Sovereign debt and systemic risk in the eurozone : a macroeconomic perspective
Popescu, Alexandra; Turcu, Camelia - In: Economic modelling 67 (2017), pp. 275-284
Persistent link: https://www.econbiz.de/10011813829
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The role of uncertainty in the euro crisis : an application of liquidity preference theory
Pusch, Toralf - In: International review of applied economics 31 (2017) 4, pp. 527-548
Persistent link: https://www.econbiz.de/10011762070
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Modeling transmissions of volatility shocks : application to CDS spreads during the euro area sovereign crisis
Bellalah, Makram; Bellalah, Mondher; Boussada, Haifa - In: International journal of business 21 (2016) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011457828
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Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)
Kalbaska, Alesia - 2017
the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …
Persistent link: https://www.econbiz.de/10012965163
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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