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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 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/10010222446

Contagion dynamics in EMU government bond spreads

Leschinski, Christian; Bertram, Philip - 2013

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

Persistent link: https://www.econbiz.de/10010239744

Sovereign Risk and Bank Risk-Taking

Ari, Anil - 2018

I propose a dynamic general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and slow recovery from crises. When banks' investment decisions are not contractible, depositors form expectations about bank risk-taking and demand a...

Persistent link: https://www.econbiz.de/10012929926

Sovereign Risk and Bank Risk-Taking

Ari, Anil - 2021

I propose a dynamic general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and slow recovery from crises. When banks’investment decisions are not contractible, depositors form expectations about bank risk-taking and demand a...

Persistent link: https://www.econbiz.de/10013248976

Sovereign risk and bank risk-taking

Ari, Anil - 2018

Persistent link: https://www.econbiz.de/10011978544

The negative feedback loop between banks and sovereigns

Angelini, Paolo; Grande, Giuseppe; Panetta, Fabio - Banca d'Italia - 2014

More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...

Persistent link: https://www.econbiz.de/10011100401

How important was contagion through banks during the European sovereign crisis?

Gonçalves, Andrei S. - 2017

positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

Persistent link: https://www.econbiz.de/10011963385

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10013248886

Regime-dependent sovereign risk pricing during the euro crisis

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

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

States, banks, and the financing of the economy : fiscal policy and sovereign risk perspectives

Balling, Morten (ed., introduction) - Colloquium "States, Banks and the Financing of the …; … - 2013

On 5-6 September 2012 SUERF held its 30th Colloquium "States, Banks, and the Financing of the Economy" at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...

Persistent link: https://www.econbiz.de/10011711625