Similar Search Results

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - 2014

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...

Persistent link: https://www.econbiz.de/10011605711

Scarcity effects of QE: A transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011636437

Sovereign Contagion in Europe: Evidence from the CDS Market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

Persistent link: https://www.econbiz.de/10011651755

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

fundamentals more strongly from 2010 to 2012; 2) a key indicator of regime switch is the premium of the financial credit default … swap index: the higher the bank credit risk, the higher the extra premium on fundamentals; 3) after ECB President Draghi …'s speech in July 2012, it took one year to restore the non-crisis regime and suppress the extra premium. …

Persistent link: https://www.econbiz.de/10011984792

Bond yields, sovereign risk and maturity structure

González-Fernández, Marcos; González-Velasco, Carmen - In: Risks 6 (2018) 4, pp. 1-25

The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990-2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the...

Persistent link: https://www.econbiz.de/10011996644

Alternative futures for government of Canada debt management

Garriott, Corey; Lefebvre, Sophie; Nolin, Guillaume; … - 2018

This paper presents four blue-sky ideas for lowering the cost of the Government of Canada's debt without increasing the debt's risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus...

Persistent link: https://www.econbiz.de/10012029828

Causes and timing of the European debt crisis: An econometric evaluation

Filoso, Valerio; Panico, Carlo; Papagni, Erasmo; … - 2017

According to the literature, two main factors sparked the European debt crisis: (1) macroeconomic imbalances originated by national governments and (2) institutional design flaws leading to feeble response by European authorities; still, economists disagree on the factors' strength. Using Bai...

Persistent link: https://www.econbiz.de/10011853382

Performance-Sensitive Government Bonds

Bank, Matthias; Kupfer, Alexander; Sendlhofer, Rupert - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 1, pp. 79-101

Steadily growing debt ratios indicate that current sovereign debt policy lacks important incentives for governments and politicians to fulfill it in a long-term sustainable way. To implement proper incentives, we propose the concept of performance-sensitive government bonds (PSGB) where coupon...

Persistent link: https://www.econbiz.de/10014523190

Sovereign risk and economic complexity

Gómez González, José Eduardo; Uribe, Jorge; … - 2024

This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

Persistent link: https://www.econbiz.de/10014563887

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...

Persistent link: https://www.econbiz.de/10009639423