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Conte, Riccardo Lo - In: Giornale degli Economisti 68 (2009) 3, pp. 341-370

I Review the literature concerning the determinants of yield spreads on government bonds. Due to the large attention received in the literature, I will refer to European and emerging markets. Europe has undergone significant institutional changes over the last decade and the corresponding market...

Persistent link: https://www.econbiz.de/10008469761

Bond Yield Compression in the Countries Converging to the Euro

Orlowski, Lucjan T.; Lommatzsch, Kirsten - William Davidson Institute, University of Michigan - 2005

We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new Member States of the European...

Persistent link: https://www.econbiz.de/10005677459

The Effect of Monetary Unification on German Bond Markets

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - Centrum voor Economische Studiën, Faculteit Economie … - 2001

This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU … German monetary policy is then reprojected onto the EMU period (1999:01-2001:08). We find that the German real interest rate … in place during the EMU period is significantly lower than it would have been in case the Bundesbank were still in charge …

Persistent link: https://www.econbiz.de/10005587989

The ECB as Lender of Last Resort for Sovereigns in the Euro Area

Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2012

The paper establishes that sovereigns, like banks, need a lender of last resort (LoLR). In the euro area the ECB, with its estimated €3.4 trillion non-inflationary loss absorption capacity, is the only credible sovereign LoLR. The ECB/Eurosystem has been acting as sovereign LoLR through its...

Persistent link: https://www.econbiz.de/10011083551

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10008564415

The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis

Falagiarda, Matteo; Gregori, Wildmer Daniel - 2015

This paper attempts to evaluate the impact of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three...

Persistent link: https://www.econbiz.de/10011605827

The effect of political communication on European financial markets during the sovereign debt crisis

Conrad, Christian; Zumbach, Klaus Ulrich - 2012

We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects European stock and bond markets as well as the EUR-USD exchange rate. Communication with respect to Italy...

Persistent link: https://www.econbiz.de/10009679094

The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis

Conrad, Christian - 2017

We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects European stock and bond markets as well as the EURUSD exchange rate. Communication with respect to Italy induces...

Persistent link: https://www.econbiz.de/10012974773

Fiscal Policy Announcements of Italian Governments and Spread Reaction during the Sovereign Debt Crisis

Falagiarda, Matteo - 2014

This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the...

Persistent link: https://www.econbiz.de/10013047985

States, banks, and the financing of the economy : fiscal policy and sovereign risk perspectives

Balling, Morten (ed., introduction) - Colloquium "States, Banks and the Financing of the …; … - 2013

On 5-6 September 2012 SUERF held its 30th Colloquium "States, Banks, and the Financing of the Economy" at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...

Persistent link: https://www.econbiz.de/10011711625