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Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...

Persistent link: https://www.econbiz.de/10009771035

Mutual excitation in eurozone sovereign CDS

Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …

Persistent link: https://www.econbiz.de/10010357304

Sovereign risk premia : the link between fiscal rules and stability culture ; conference paper

Heinemann, Friedrich; Osterloh, Steffen; Kalb, Alexander - 2013

There is a growing empirical literature studying whether fiscal rules reduce borrowing costs. Nevertheless, it remains an open question whether these rules are effective genuinely or just because they mirror fiscal preferences of politicians and voters. In our analysis of European bond spreads,...

Persistent link: https://www.econbiz.de/10010336738

How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone

Li, Junye - 2015

, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign …

Persistent link: https://www.econbiz.de/10013027364

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10013248886

European Sovereign CDS Premia during the Crisis – A Cointegration Analysis

Schmidt, Alexander - 2013

In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I ﬁnd evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...

Persistent link: https://www.econbiz.de/10013078906

An Analysis of Sovereign Credit Risk Premia in the Euro Area : Are They Explained by Local or Global Factors?

Cecchetti, Sara - 2020

We study the determinants of sovereign credit risk in the euro area in a time period that includes the financial and sovereign debt crisis, as well as the unconventional monetary policy adopted by the European Central Bank. First, we detect the presence of commonality in sovereign credit spreads...

Persistent link: https://www.econbiz.de/10012832740

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

Tail Dependence of Eurozone Sovereign CDS Spreads

Arakelian, Veni - 2018

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …

Persistent link: https://www.econbiz.de/10012914425