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Making the Eurozone work : a risk-sharing reform of the European Stability Mechanism
Dosi, Giovanni; Minenna, Marcello; Roventini, Andrea; … - 2018
This work presents an original proposal for the reform of the Eurozone architecture according to an approach based on … new ESM would support the full transition from national debts to a single Eurozone public debt (e.g. Eurobonds) with a …
Persistent link: https://www.econbiz.de/10011873820
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Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of …
Persistent link: https://www.econbiz.de/10011974869
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Credit ratings and the pricing of sovereign debt during the euro crisis
Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - 2013
Persistent link: https://www.econbiz.de/10009766969
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Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)
Kalbaska, Alesia - 2017
the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …
Persistent link: https://www.econbiz.de/10012965163
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Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis
Aizenman, Joshua - 2013
that changes of ratings are informative, economically important and highly statistically significant in panel models even … country groupings and dynamic structures. Dynamic panel model estimates indicate that a credit rating upgrade decreases CDS …
Persistent link: https://www.econbiz.de/10013080412
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Sovereign risk evaluation for European Union countries
Agiakloglou, Christos N.; Deligiannakis, Emmanouil - In: Journal of international money and finance 103 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012392522
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ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk
Katsampoxakis, Ioannis - In: EuroMed journal of business 17 (2022) 2, pp. 218-245
Persistent link: https://www.econbiz.de/10013362444
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Financial markets and fiscal discipline in the Eurozone
Canale, Rosaria Rita; De Simone, Elina; Spagnolo, Nicola - In: Structural change and economic dynamics : SC+ED 58 (2021), pp. 490-499
Persistent link: https://www.econbiz.de/10012648733
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10012898392
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2021
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10013222131