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The influence of sovereign bond yields on bank lending rates: the pass-through in Europe

Eller, Markus; Reininger, Thomas - In: Focus on European economic integration (2016) 2, pp. 54-78

Persistent link: https://www.econbiz.de/10011672403

Interest rate convergence, sovereign credit risk and the European debt crisis : a survey

Gruppe, Mario; Basse, Tobias; Friedrich, Meik; Lange, … - In: Journal of risk finance : the convergence of financial … 18 (2017) 4, pp. 432-442

Persistent link: https://www.econbiz.de/10011782720

EMU and the renaissance of sovereign credit risk perception

Schmid, Kai D.; Schmidt, Michael - 2012

macroeconomic data from 1980 to 2012 and contrast a panel of 22 OECD countries with 11 EMU member countries and the so called GIIPS … of the EMU. In particular, we find that the relationship between the perceived default risk reflected by long … cluster specific. Our findings suggest that there is a strong connection of institutional aspects of EMU and the relationship …

Persistent link: https://www.econbiz.de/10009751303

The Impact of Sovereign and Credit Risk on Interest Rate Convergence in the Euro Area

Arnold, Ivo J.M. - 2014

This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...

Persistent link: https://www.econbiz.de/10013053074

Euro area sovereign yield spreads as determinants of private sector borrowing costs

Theobald, Thomas; Tober, Silke - 2018

We regress long-term private sector interest rates on a money market rate, a term premium and credit risk. As a contribution to the current debate about European safe assets, our interest is in quantifying domestic spillover effects from euro area sovereign bond spreads. Panel estimates show...

Persistent link: https://www.econbiz.de/10011914111