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European bond ETFs : tracking errors and the sovereign debt crisis

Drenovak, Mikica; Urošević, Branko; Jelic, Ranko - In: European financial management : the journal of the … 20 (2014) 5, pp. 958-994

Persistent link: https://www.econbiz.de/10010504232

The euro area sovereign debt crisis : can contagion spread from the periphery to the core?

Gorea, Denis; Radev, Deyan - In: International review of economics & finance : IREF 30 (2014), pp. 78-100

Persistent link: https://www.econbiz.de/10010490495

Does local and Euro area sentiment matter for sovereign debt markets? : evidence from a bailout country

Fernandes, Carla Manuela da Assunção; Gonçalves, … - In: Applied economics 48 (2016) 7/9, pp. 816-834

Persistent link: https://www.econbiz.de/10011414055

Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis

Broto, Carmen - 2013

During the last crisis, developed economies' sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components: a...

Persistent link: https://www.econbiz.de/10013074345

Banks and sovereigns : did adversity bring them closer?

Flavin, Thomas J.; Dongey, M; Sheenan, L. - 2020

Persistent link: https://www.econbiz.de/10013169004

Debt crises, fast and slow

Corsetti, Giancarlo; Maeng, Seung Hyun - 2021 - Revised 14 April 2021

Persistent link: https://www.econbiz.de/10013183826

Sovereign Debt Repatriation During Crises

Arslanalp, Serkan; Sunder-Plassmann, Laura - 2022

) not all crises are equal: evidence for repatriation during banking and currency crises is more limited; and (iii) the … uniquely suited to analyzing investor base dynamics during rare crises due to its large cross-section and time series, covering …

Persistent link: https://www.econbiz.de/10013288911

Evaluating sovereign risk spillovers on domestic banks during the European debt crisis

Keddad, Benjamin; Schalck, Christophe - In: Economic modelling 88 (2020), pp. 356-375

Persistent link: https://www.econbiz.de/10012417241

Debt crises, fast and slow

Corsetti, Giancarlo; Maeng, Seung Hyun - 2020

Persistent link: https://www.econbiz.de/10012501064

Early warning system for government debt crisis in developing countries

Wijayanti, Rani; Rachmanira, Sagita - In: Journal of central banking theory and practice 9 (2020), pp. 103-124

This study develops an early warning signal (EWS) of government debt crisis using a panel data consisting of 43 developing countries over the period of 1960 to 2017. It employs two different methods: the noise to signal ratio to capture the signaling power of individual indicators; and the...

Persistent link: https://www.econbiz.de/10012306685