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Debt stabilization and debt mutualization in a monetary union with endogenous risk premia

Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...

Persistent link: https://www.econbiz.de/10011350136

The Risk of the Sovereign Debt Default : The Eurozone Crisis 2008-2013

Stamatopoulos, Theodoros V. - 2016

We investigate the relationship of the market pricing of sovereign risk to default, through CDS spreads for 16 Eurozone … discrimination between South and West Euro Area Periphery (SWEAP) and the core Eurozone, highlighting asymmetries discovered either … words, the “fragility hypothesis of the Eurozone” …

Persistent link: https://www.econbiz.de/10012976894

Sovereign credit rating determinants of the EU countries : the role of the euro area crisis and its legacy

Stawasz-Grabowska, Ewa - In: Entrepreneurial business and economics review : EBER 8 (2020) 2, pp. 47-69

-crisis subperiods. The frequency of data is yearly, and panel error correction model is used as the main research method. Findings: The …

Persistent link: https://www.econbiz.de/10012517007

Understanding Sovereign Rating Movements in Euro Area Countries

Bruha, Jan - 2017

This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit...

Persistent link: https://www.econbiz.de/10012963900

Time-scale analysis of sovereign bonds market co-movement in the EU

Smolik, Filip; Vacha, Lukas - 2015

horizons, and through time. We divide the countries into three groups; the Core of the Eurozone, the Periphery of the Eurozone … and the states outside the Eurozone. Results indicate that co-movement considerably decreased in the crisis period for all …

Persistent link: https://www.econbiz.de/10011280710

Understanding sovereign rating movements in euro area countries

Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2017

Persistent link: https://www.econbiz.de/10011606056

Contingent Claims Analysis of Sovereign Default Risk in the Eurozone

Kahlert, Dennis - 2017

We study sovereign default risk as measured by credit default swap (CDS) spreads of Eurozone member states between 2008 …

Persistent link: https://www.econbiz.de/10012957977

What Drives Sovereign Debt Maturity in European Countries?

González-Fernández, Marcos - 2019

The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider the impact of the determinants in the...

Persistent link: https://www.econbiz.de/10012868953

The Impact of Sovereign Debt Exposure on Bank Lending : Evidence from the European Debt Crisis

Popov, Alexander A. - 2013

Using loan-level data, we find that syndicated lending by European banks with sizeable balance sheet exposures to impaired sovereign debt was negatively affected after the start of the euro area sovereign debt crisis. We also observe a reallocation away from foreign (especially US) markets. The...

Persistent link: https://www.econbiz.de/10013079572

Sovereign debt, the blessing aspects and the implications for the Euro area

Chiesa, Gabriella - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 1, pp. 9-30

The Euro area has a unique monetary authority that governs money creation, but several individual-countries’ sovereign debts that differ in terms of safety. We analyse: i) the interactions between the financial and real sector in such an environment; ii) the role of government bonds as...

Persistent link: https://www.econbiz.de/10012507194