The European debt crisis has revealed serious deficiencies and risks on a proper functioning of the monetary union. Against this backdrop, early warning systems are of crucial importance. In this study that focuses on euro area member states, the robustness of early warning systems to predict...

Alle drei großen Ratingagenturen Standard & Poor’s, Moody’s und Fitch haben Griechenland, Irland, Portugal und Spanien während der europäischen Finanzmarkt- und Staatsschuldenkrise signifikant benachteiligt. Dies lässt sich nur zu einem geringen Teil auf objektive Fundamentaldaten...

This paper reviews developments in the Cypriot economy following the introduction of the euro on 1 January 2008 and leading to the economic collapse of the island five years later. The main cause of the collapse is identified with the election of a communist government in February 2008, within...

This article outlines two general approaches to disentangle expected defaults and anticipated devaluations from distressed sovereign spreads. The first uses affine term structure models and uncovered interest rate parity to extract a schedule between risk-neutral devaluation odds and exchange...

We examine the impact of sovereign downgrades on European firms for equity markets and credit default swap (CDS) markets during the period 2009 to 2012. We find evidence of spillover effects, where sovereign downgrades lead to negative abnormal stock returns and positive abnormal CDS spread...