In this paper we study the cash-CDS basis and its implication in terms of market strategy and price discovery, while we investigate the role of credit risk common factors as determinants. After a description of CDS and asset swap contracts, we present the strategy: a positive net income is...

This paper looks into credit risk markets for Emerging economies. It analyzes the relation between credit default swap (CDS) and bond spreads in the post Lehman Brothers period by focusing on both short and long run relations. Equity and cost of funding are also considered in the study. On the...

We present Nelson-Siegel-type yield curves for the Euro Area, by studying the in-sample fit and the out-of sample forecasting properties. Moreover, we add macro variables (output gap, EONIA and HICP or alternatively Eurocoin) to estimate the interactions with yield curve factors (level, slope...

Following the upset of the financial crisis, and especially after the collapse of Lehman Brothers, Governments in advanced economies have provided support to the fi nancial sector to help restoring its normal functioning and to avoid the widening of the meltdown. Banking CDS premia climbed from...

There is an open debate about the role of asset prices in the conduct of monetary policy. The current crises and the burst of housing bubble give occasion to revisit this question. We present Generalized Method of Moments (GMM) estimates of the Taylor rule by using its classic version (Taylor,...

We study European liquidity by extracting factors from a dataset of macroeconomic and financial variables for 26 countries. Liquidity is driven by three factors, called monetary policy, credit supply and credit demand obtained from rotated factors, after imposing theoretical restrictions....

Using a sample of 500 Italian banks over the period 2007 - 2014, our paper provides evidence on the hypothesis behind the management of credit risk provisions and non-performing exposures for the entire banking system and for different types of banks, clustered on dimension. We also study on the...