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Market-Based Sovereign Ceiling : Evidence from the European Sovereign Debt Crisis
Wengner, Andreas - 2014
We examine the impact of sovereign downgrades on European firms for equity markets and credit default swap (CDS …
Persistent link: https://www.econbiz.de/10013047224
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …
Persistent link: https://www.econbiz.de/10013061742
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The rating spillover from banks to sovereigns : an empirical investigation across the European Union
Hu, Haoshen; Prokop, Jörg; Shi, Yukun; Trautwein, … - In: Journal of international financial markets, … 64 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012495673
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Credit rating agency downgrades and the Eurozone sovereign debt crises
Baum, Christopher F.; Schäfer, Dorothea; Stephan, Andreas - In: Journal of financial stability 24 (2016), pp. 117-131
Persistent link: https://www.econbiz.de/10011704126
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The productivity cost of sovereign default : evidence from the European debt crisis
Alonso Ortiz, Jorge; Colla de Robertis, Esteban; … - In: Economic theory : official journal of the Society for … 64 (2017) 4, pp. 611-633
Persistent link: https://www.econbiz.de/10011946043
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2018
Persistent link: https://www.econbiz.de/10011946887
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Sovereign debt and systemic risk in the eurozone : a macroeconomic perspective
Popescu, Alexandra; Turcu, Camelia - In: Economic modelling 67 (2017), pp. 275-284
Persistent link: https://www.econbiz.de/10011813829
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Market-based sovereign ceiling : evidence from the European sovereign debt crisis
Wengner, Andreas; Lampenius, Niklas; Haas, Timo - In: The journal of fixed income 24 (2014) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011660675
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The role of uncertainty in the euro crisis : an application of liquidity preference theory
Pusch, Toralf - In: International review of applied economics 31 (2017) 4, pp. 527-548
Persistent link: https://www.econbiz.de/10011762070
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Understanding sovereign rating movements in euro area countries
Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 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/10011637529