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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper

Buchholz, Manuel; Tonzer, Lena - 2014

have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …

Persistent link: https://www.econbiz.de/10010486057

International liquidity shocks and the European sovereign debt crisis : was euro area unconventional monetary policy successful?

Everett, Mary M. - 2015

Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross-border funding, and (ii) a contraction in US wholesale...

Persistent link: https://www.econbiz.de/10011374059

What's Mine Is Yours : Sovereign Risk Transmission during the European Debt Crisis

Greenwood-Nimmo, Matthew - 2017

We develop an empirical network model to study bilateral sovereign credit risk spillovers during the European debt crisis. We show that the spillover density is typically asymmetric with heavy tails. This confounds efforts to track time-variation in spillover activity using the mean-based...

Persistent link: https://www.econbiz.de/10012952055

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V. - 2019

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10012898392

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V.; Gündüz, Yalin; Johnson, Timothy C. - 2021

Persistent link: https://www.econbiz.de/10013222131

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Persistent link: https://www.econbiz.de/10011888333

Chapter 21. Quantitative Models of Sovereign Debt Crises

Aguiar, M.; Chatterjee, S.; Cole, H.; Stangebye, Z. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1697-1755). 2016

This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

Persistent link: https://www.econbiz.de/10014024275

Optimal Bailouts in Banking and Sovereign Crises

Hur, Sewon; Sosa‐Padilla, César; Yom, Zeynep - 2022

We study optimal bailout policies in the presence of banking and sovereign crises. First, we use European data to document that asset guarantees are the most prevalent way in which sovereigns intervene during banking crises. Then, we build a model of sovereign borrowing with limited commitment,...

Persistent link: https://www.econbiz.de/10013308897

International liquidity shocks and the European sovereign debt crisis : was euro area unconventional monetary policy successful?

Everett, Mary M. - 2015

Persistent link: https://www.econbiz.de/10011283034

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/10010327794