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Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2013
Persistent link: https://www.econbiz.de/10010127246
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Conditional eurobonds and the eurozone sovereign debt crisis
Muellbauer, John - In: Oxford review of economic policy 29 (2013) 3, pp. 610-645
Persistent link: https://www.econbiz.de/10010344444
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The euro area sovereign debt crisis : identifying flight-to-liquidity and the spillover mechanisms
De Santis, Roberto A. - In: Journal of empirical finance 26 (2014), pp. 150-170
Persistent link: https://www.econbiz.de/10010471991
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Comment on: "Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis"
Kazanas, Thanassis; Tzavalis, Elias - In: Journal of macroeconomics 39 (2014) 2, pp. 420-423
Persistent link: https://www.econbiz.de/10010496443
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Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of macroeconomics 39 (2014) 2, pp. 405-419
Persistent link: https://www.econbiz.de/10010496445
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Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu; Niu, Linlin; Zhang, Chen - In: Journal of econometrics 230 (2022) 1, pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...
Persistent link: https://www.econbiz.de/10011759005
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Sovereign spreads, central bank collateral frameworks, and periphery premia in the Eurozone
Schuster, Florian - 2023
This paper studies the emergence of sovereign bond yield spreads in the Eurozone prior to the financial crisis. While … cycles deviate most from the average Eurozone cycle. In contrast, spreads did not arise in response to adverse macroeconomic …
Persistent link: https://www.econbiz.de/10014364133
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The relationship between public debt accumulation and default risk under the ECB's conventional vs. non-standard monetary policy : a panel data analysis of 9 Eurozone countries : 2...
Kim, Hongkil - In: Journal of Post Keynesian economics 43 (2020) 1, pp. 112-130
Persistent link: https://www.econbiz.de/10012196084