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Sovereign risk contagion in the Eurozone: a time-varying coefficient approach
Ludwig, Alexander - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10011107941
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“An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis”
Gómez-Puig, Marta; Sosvilla-Rivero, Simón; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2014
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables...
Persistent link: https://www.econbiz.de/10010747956
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An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis
Gómez-Puig, Marta; Sosvilla-Rivero, Simón; … - Asociación Española de Economía y Finanzas … - 2014
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables...
Persistent link: https://www.econbiz.de/10011145041
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An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis
Gómez-Puig, Marta; Sosvilla-Rivero, Simón; … - In: The North American Journal of Economics and Finance 30 (2014) C, pp. 133-153
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables...
Persistent link: https://www.econbiz.de/10011117744
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Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic
Komarkova, Zlatuse; Lesanovska, Jitka; Komarek, Lubos - In: Czech Journal of Economics and Finance (Finance a uver) 63 (2013) 1, pp. 5-24
In this article we discuss the credit default swap (CDS) as an indicator for measuring sovereign credit risk and the relationship between the sovereign CDS market and government bond market. We analyze the links between the sovereign CDS and sovereign yield spread and try to determine which of...
Persistent link: https://www.econbiz.de/10010827791
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The impact of the euro on money and bond markets
Santillán, Javier; Bayle, Marc; Thygesen, Christian - 2000
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...
Persistent link: https://www.econbiz.de/10011606153
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Determinants of European stock market integration
Büttner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...
Persistent link: https://www.econbiz.de/10003888969
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EMU and European government bond market integration
Abad, Pilar; Chuliá, Helena; Gómez Puig, Marta - 2009
The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the...
Persistent link: https://www.econbiz.de/10003963733
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Macro-Networks : An Application to the Euro Area Financial Accounts
Castren, Olli - 2013
analysis suggests that the risk of contagion is not reduced, while a more diversified portfolio of cross-border exposures might …
Persistent link: https://www.econbiz.de/10013087568
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EMU and European Government Bond Market Integration
Abad-Romero, Pilar - 2009
The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the...
Persistent link: https://www.econbiz.de/10013157412