Similar Search Results

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2018

We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....

Persistent link: https://www.econbiz.de/10012929524

Greek sovereign debt : addressing economic distress and growth in the Euro Area

Alexakis, Panayiotis; Hardouvelis, Gikas A.; Paxson, Dean A. - In: Multinational finance journal 22 (2018) 1/2, pp. 1-33

Persistent link: https://www.econbiz.de/10012547582

Conditional Euro Area Sovereign Default Risk

Lucas, Andre - 2013

We propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t distribution that captures all salient features of the data, including skewed and heavytailed changes in the price of CDS...

Persistent link: https://www.econbiz.de/10013079820

Quantifying sovereign risk in the euro area

Singh, Manish K.; Gómez Puig, Marta; Sosvilla-Rivero, … - In: Economic modelling 95 (2021), pp. 76-96

Persistent link: https://www.econbiz.de/10012695852

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 … bond's yields, although Germany's rating status was never touched by CRA. There is no evidence for Granger causality from …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …

Persistent link: https://www.econbiz.de/10010206145