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Do markets value ESG risks in sovereign credit curves?

Hübel, Benjamin - In: The quarterly review of economics and finance : journal … 85 (2022), pp. 134-148

Persistent link: https://www.econbiz.de/10013336084

Unveiling sovereign effects in European banks CDS spreads variations

Peters, Marc; Pirotte, Hugues E. - 2014

Persistent link: https://www.econbiz.de/10010419101

Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis

Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143

Persistent link: https://www.econbiz.de/10009708778

What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland

Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - In: International journal of economics and business research 7 (2014) 1, pp. 104-120

Persistent link: https://www.econbiz.de/10010351548

Persistence of volatility of sovereign credit risk in presence of structural breaks

Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10010463011

The relative pricing of sovereign credit risk after the Eurozone crisis

Corvino, Raffaele; Ruggiero, Francesco - In: Journal of international money and finance 112 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012797600

Market price effects of agency sovereign debt announcements : importance of prior credit states

Binici, Mahir; Hutchison, Michael M.; Miao, Evan Weicheng - In: International review of economics & finance : IREF 69 (2020), pp. 769-787

Persistent link: https://www.econbiz.de/10012487452

Do credit rating agencies provide valuable information in market evaluation of sovereign default risk?

Binici, Mahir; Hutchison, Michael M. - In: Journal of international money and finance 85 (2018), pp. 58-75

Persistent link: https://www.econbiz.de/10012000388

Tail Dependence of Eurozone Sovereign CDS Spreads

Arakelian, Veni - 2018

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit default swap spreads during the period 2008-2013 and we detect clusters of credit default swaps with high tail dependence. Our approach is also useful to inspect the evolution of the...

Persistent link: https://www.econbiz.de/10012914425

Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union

Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107

This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...

Persistent link: https://www.econbiz.de/10013407190